How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.3539	3.27***
αARCH	0.1961	6.51***
βGARCH	0.8005	27.52***

γ₁	-3.4845	-1.30
γ₂	7.0196	1.97**
γ₃	-6.0785	-3.28***
γ₄	3.0524	1.75*
γ₅	0.2365	0.13
γ₆	-7.6242	-3.22***
γ₇	16.8202	5.73***
γ₈	-11.8934	-4.75***
γ₉	-1.5596	-0.75
γ₁₀	8.4699	3.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3539	3.27***
α ARCH Response to squared shocks	0.1961	6.51***
β GARCH Volatility persistence	0.8005	27.52***

γ₁	-3.4845	-1.30
γ₂	7.0196	1.97**
γ₃	-6.0785	-3.28***
γ₄	3.0524	1.75*
γ₅	0.2365	0.13
γ₆	-7.6242	-3.22***
γ₇	16.8202	5.73***
γ₈	-11.8934	-4.75***
γ₉	-1.5596	-0.75
γ₁₀	8.4699	3.96***

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Development Invt Constr Analyses