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Param	Value	t-stat
ωconst	1.0588	6.96***
αARCH	0.0535	14.25***
βGARCH	0.9452	249.72***

γ₁	-0.0065	-1.86*
γ₂	0.0103	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0588	6.96***
α ARCH Response to squared shocks	0.0535	14.25***
β GARCH Volatility persistence	0.9452	249.72***

γ₁	-0.0065	-1.86*
γ₂	0.0103	1.52

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Caterpillar Inc Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

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