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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.8759
αARCH	0.2401
βGARCH	0.7599

γ₁	-4.6635
γ₂	4.9268
γ₃	0.4410
γ₄	9.9385
γ₅	-16.9709
γ₆	13.9155
γ₇	-18.5453
γ₈	14.9691
γ₉	-6.6263

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8759
α ARCH Response to squared shocks	0.2401
β GARCH Volatility persistence	0.7599

γ₁	-4.6635
γ₂	4.9268
γ₃	0.4410
γ₄	9.9385
γ₅	-16.9709
γ₆	13.9155
γ₇	-18.5453
γ₈	14.9691
γ₉	-6.6263

V-Lab

Republic Insurance PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Republic Insurance PLC Analyses