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	0.1709	4.51***
αARCH	0.1592	2.10**
βGARCH	0.2856	1.56

γ₁	-0.8975	-0.36
γ₂	0.4565	0.12
γ₃	3.2314	1.21
γ₄	-4.8954	-1.73*
γ₅	-0.4145	-0.13
γ₆	13.3319	3.43***
γ₇	-23.7493	-6.11***
γ₈	19.9584	5.56***
γ₉	-13.1196	-2.65***
γ₁₀	18.9037	3.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1709	4.51***
α ARCH Response to squared shocks	0.1592	2.10**
β GARCH Volatility persistence	0.2856	1.56

γ₁	-0.8975	-0.36
γ₂	0.4565	0.12
γ₃	3.2314	1.21
γ₄	-4.8954	-1.73*
γ₅	-0.4145	-0.13
γ₆	13.3319	3.43***
γ₇	-23.7493	-6.11***
γ₈	19.9584	5.56***
γ₉	-13.1196	-2.65***
γ₁₀	18.9037	3.13***

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