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	1.4159	3.07***
αARCH	0.3948	5.27***
βGARCH	0.5936	8.22***

γ₁	-14.9158	-2.48**
γ₂	19.4479	2.59***
γ₃	-5.3061	-1.20
γ₄	3.9744	0.82
γ₅	-7.6903	-1.86*
γ₆	5.9263	1.46
γ₇	-4.1338	-0.92
γ₈	8.3469	1.52
γ₉	-36.6319	-3.02***
γ₁₀	98.2419	4.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4159	3.07***
α ARCH Response to squared shocks	0.3948	5.27***
β GARCH Volatility persistence	0.5936	8.22***

γ₁	-14.9158	-2.48**
γ₂	19.4479	2.59***
γ₃	-5.3061	-1.20
γ₄	3.9744	0.82
γ₅	-7.6903	-1.86*
γ₆	5.9263	1.46
γ₇	-4.1338	-0.92
γ₈	8.3469	1.52
γ₉	-36.6319	-3.02***
γ₁₀	98.2419	4.57***

V-Lab

Kalind Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kalind Ltd Analyses