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Param	Value	t-stat
ωconst	1.3552	5.32***
αARCH	0.0936	4.36***
βGARCH	0.8120	19.89***

γ₁	-0.7067	-1.54
γ₂	1.0472	1.53
γ₃	0.0267	0.07
γ₄	-0.7808	-2.39**
γ₅	0.7580	2.16**
γ₆	-0.8956	-2.21**
γ₇	1.1673	2.44**
γ₈	0.0012	0.00
γ₉	-3.0929	-2.32**
γ₁₀	4.8589	2.41**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3552	5.32***
α ARCH Response to squared shocks	0.0936	4.36***
β GARCH Volatility persistence	0.8120	19.89***

γ₁	-0.7067	-1.54
γ₂	1.0472	1.53
γ₃	0.0267	0.07
γ₄	-0.7808	-2.39**
γ₅	0.7580	2.16**
γ₆	-0.8956	-2.21**
γ₇	1.1673	2.44**
γ₈	0.0012	0.00
γ₉	-3.0929	-2.32**
γ₁₀	4.8589	2.41**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses