How volatility evolves over time

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.8060	3.11***
αARCH	0.1097	10.82***
βGARCH	0.8665	62.89***

γ₁	0.0241	0.23
γ₂	0.0733	0.47
γ₃	-0.4409	-3.56***
γ₄	0.7461	6.72***
γ₅	-0.7101	-9.94***
γ₆	0.5126	5.96***
γ₇	-0.2960	-3.48***
γ₈	0.1522	2.10**
γ₉	-0.1716	-2.32**
γ₁₀	0.1438	1.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8060	3.11***
α ARCH Response to squared shocks	0.1097	10.82***
β GARCH Volatility persistence	0.8665	62.89***

γ₁	0.0241	0.23
γ₂	0.0733	0.47
γ₃	-0.4409	-3.56***
γ₄	0.7461	6.72***
γ₅	-0.7101	-9.94***
γ₆	0.5126	5.96***
γ₇	-0.2960	-3.48***
γ₈	0.1522	2.10**
γ₉	-0.1716	-2.32**
γ₁₀	0.1438	1.38

V-Lab

Financiere de Tubize SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Financiere de Tubize SA Analyses