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Param	Value	t-stat
ωconst	1.3542	5.32***
αARCH	0.0933	4.35***
βGARCH	0.8125	19.92***

γ₁	-0.7073	-1.54
γ₂	1.0480	1.53
γ₃	0.0263	0.07
γ₄	-0.7806	-2.39**
γ₅	0.7584	2.16**
γ₆	-0.8962	-2.21**
γ₇	1.1682	2.45**
γ₈	-0.0010	0.00
γ₉	-3.0874	-2.32**
γ₁₀	4.8387	2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3542	5.32***
α ARCH Response to squared shocks	0.0933	4.35***
β GARCH Volatility persistence	0.8125	19.92***

γ₁	-0.7073	-1.54
γ₂	1.0480	1.53
γ₃	0.0263	0.07
γ₄	-0.7806	-2.39**
γ₅	0.7584	2.16**
γ₆	-0.8962	-2.21**
γ₇	1.1682	2.45**
γ₈	-0.0010	0.00
γ₉	-3.0874	-2.32**
γ₁₀	4.8387	2.44**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses