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	0.2052	4.79***
αARCH	0.1123	6.52***
βGARCH	0.8161	26.48***

γ₁	0.0062	0.03
γ₂	-0.1726	-0.58
γ₃	0.6405	2.81***
γ₄	-1.1989	-6.23***
γ₅	1.4244	6.67***
γ₆	-1.1384	-4.35***
γ₇	1.0818	2.61***
γ₈	-1.1105	-1.84*
γ₉	0.7044	1.19
γ₁₀	-0.9028	-1.80*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2052	4.79***
α ARCH Response to squared shocks	0.1123	6.52***
β GARCH Volatility persistence	0.8161	26.48***

γ₁	0.0062	0.03
γ₂	-0.1726	-0.58
γ₃	0.6405	2.81***
γ₄	-1.1989	-6.23***
γ₅	1.4244	6.67***
γ₆	-1.1384	-4.35***
γ₇	1.0818	2.61***
γ₈	-1.1105	-1.84*
γ₉	0.7044	1.19
γ₁₀	-0.9028	-1.80*

V-Lab

Vitura SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vitura SA Analyses