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	1.2433	3.42***
αARCH	0.1902	5.87***
βGARCH	0.7541	23.45***

γ₁	0.2949	1.52
γ₂	-0.2807	-0.95
γ₃	-0.1417	-0.65
γ₄	0.2212	1.16
γ₅	-0.1902	-1.00
γ₆	0.5188	1.81*
γ₇	-1.1567	-2.96***
γ₈	2.0196	3.47***
γ₉	-2.5201	-3.07***
γ₁₀	2.1215	2.01**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2433	3.42***
α ARCH Response to squared shocks	0.1902	5.87***
β GARCH Volatility persistence	0.7541	23.45***

γ₁	0.2949	1.52
γ₂	-0.2807	-0.95
γ₃	-0.1417	-0.65
γ₄	0.2212	1.16
γ₅	-0.1902	-1.00
γ₆	0.5188	1.81*
γ₇	-1.1567	-2.96***
γ₈	2.0196	3.47***
γ₉	-2.5201	-3.07***
γ₁₀	2.1215	2.01**

V-Lab

NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NAOS Small Cap Opportunities C Analyses