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	0.1711	4.51***
αARCH	0.1608	2.11**
βGARCH	0.2820	1.55

γ₁	-0.9022	-0.36
γ₂	0.4607	0.12
γ₃	3.2339	1.21
γ₄	-4.9014	-1.73*
γ₅	-0.4040	-0.13
γ₆	13.3119	3.43***
γ₇	-23.7090	-6.09***
γ₈	19.8636	5.53***
γ₉	-12.8751	-2.61***
γ₁₀	18.2079	3.20***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1711	4.51***
α ARCH Response to squared shocks	0.1608	2.11**
β GARCH Volatility persistence	0.2820	1.55

γ₁	-0.9022	-0.36
γ₂	0.4607	0.12
γ₃	3.2339	1.21
γ₄	-4.9014	-1.73*
γ₅	-0.4040	-0.13
γ₆	13.3119	3.43***
γ₇	-23.7090	-6.09***
γ₈	19.8636	5.53***
γ₉	-12.8751	-2.61***
γ₁₀	18.2079	3.20***

V-Lab

ECP Emerging Growth Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ECP Emerging Growth Ltd Analyses