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Param	Value	t-stat
ωconst	1.8330	0.56
αARCH	0.1638	0.19
βGARCH	0.8362	0.98

γ₁	0.4434	0.35
γ₂	-1.7092	-0.99
γ₃	2.3967	3.66***
γ₄	-0.9136	-0.39
γ₅	0.9138	0.15
γ₆	-9.4803	-0.44
γ₇	18.3244	0.48
γ₈	-12.3481	-0.61
γ₉	0.7620	0.12
γ₁₀	2.4257	0.79

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8330	0.56
α ARCH Response to squared shocks	0.1638	0.19
β GARCH Volatility persistence	0.8362	0.98

γ₁	0.4434	0.35
γ₂	-1.7092	-0.99
γ₃	2.3967	3.66***
γ₄	-0.9136	-0.39
γ₅	0.9138	0.15
γ₆	-9.4803	-0.44
γ₇	18.3244	0.48
γ₈	-12.3481	-0.61
γ₉	0.7620	0.12
γ₁₀	2.4257	0.79

V-Lab

Trust Modaraba Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Trust Modaraba Analyses