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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	0.6598	3.96***
αARCH	0.2336	6.11***
βGARCH	0.6963	16.99***

γ₁	-2.9037	-2.42**
γ₂	4.6214	2.35**
γ₃	-5.8974	-3.45***
γ₄	7.7169	4.62***
γ₅	-3.4589	-2.84***
γ₆	-0.3267	-0.39
γ₇	-0.1412	-0.14
γ₈	-0.2383	-0.19
γ₉	3.0900	2.45**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6598	3.96***
α ARCH Response to squared shocks	0.2336	6.11***
β GARCH Volatility persistence	0.6963	16.99***

γ₁	-2.9037	-2.42**
γ₂	4.6214	2.35**
γ₃	-5.8974	-3.45***
γ₄	7.7169	4.62***
γ₅	-3.4589	-2.84***
γ₆	-0.3267	-0.39
γ₇	-0.1412	-0.14
γ₈	-0.2383	-0.19
γ₉	3.0900	2.45**

V-Lab

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Date Range:

News Impact Curve

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