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Param	Value	t-stat
ωconst	1.0035	3.32***
αARCH	0.2133	3.42***
βGARCH	0.5486	4.99***

γ₁	-26.0924	-3.15***
γ₂	40.7821	3.07***
γ₃	-20.6438	-2.77***
γ₄	9.5948	2.74***
γ₅	-4.0389	-1.88*
γ₆	-1.0976	-0.58
γ₇	4.0152	2.12**
γ₈	-6.5882	-3.20***
γ₉	6.1720	2.71***
γ₁₀	-1.8482	-0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0035	3.32***
α ARCH Response to squared shocks	0.2133	3.42***
β GARCH Volatility persistence	0.5486	4.99***

γ₁	-26.0924	-3.15***
γ₂	40.7821	3.07***
γ₃	-20.6438	-2.77***
γ₄	9.5948	2.74***
γ₅	-4.0389	-1.88*
γ₆	-1.0976	-0.58
γ₇	4.0152	2.12**
γ₈	-6.5882	-3.20***
γ₉	6.1720	2.71***
γ₁₀	-1.8482	-0.66

V-Lab

Deep Value Driller As Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Deep Value Driller As Analyses