How volatility evolves over time

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.8644	3.71***
αARCH	0.2475	16.98***
βGARCH	0.7474	55.17***

γ₁	-1.1201	-5.02***
γ₂	1.5594	5.82***
γ₃	-0.6943	-4.13***
γ₄	0.5988	3.67***
γ₅	-0.4443	-3.64***
γ₆	0.2295	2.47**
γ₇	-0.3549	-3.62***
γ₈	0.3326	2.49**
γ₉	-0.1473	-0.99
γ₁₀	0.2459	1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8644	3.71***
α ARCH Response to squared shocks	0.2475	16.98***
β GARCH Volatility persistence	0.7474	55.17***

γ₁	-1.1201	-5.02***
γ₂	1.5594	5.82***
γ₃	-0.6943	-4.13***
γ₄	0.5988	3.67***
γ₅	-0.4443	-3.64***
γ₆	0.2295	2.47**
γ₇	-0.3549	-3.62***
γ₈	0.3326	2.49**
γ₉	-0.1473	-0.99
γ₁₀	0.2459	1.38

V-Lab

Dogusan Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dogusan Analyses