How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.8542	3.58***
αARCH	0.2079	11.67***
βGARCH	0.7916	44.46***

γ₁	-0.6022	-3.15***
γ₂	0.8999	3.49***
γ₃	-0.3183	-1.95*
γ₄	0.0881	0.52
γ₅	-1.5337	-2.30**
γ₆	4.3168	2.40**
γ₇	-5.0477	-2.39**
γ₈	3.1531	2.36**
γ₉	-1.2332	-1.96*
γ₁₀	0.1000	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8542	3.58***
α ARCH Response to squared shocks	0.2079	11.67***
β GARCH Volatility persistence	0.7916	44.46***

γ₁	-0.6022	-3.15***
γ₂	0.8999	3.49***
γ₃	-0.3183	-1.95*
γ₄	0.0881	0.52
γ₅	-1.5337	-2.30**
γ₆	4.3168	2.40**
γ₇	-5.0477	-2.39**
γ₈	3.1531	2.36**
γ₉	-1.2332	-1.96*
γ₁₀	0.1000	0.29

V-Lab

Malaysian Pacific Indus Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malaysian Pacific Indus Bhd Analyses