How volatility evolves over time

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Param	Value	t-stat
ωconst	1.3570	5.25***
αARCH	0.0941	4.39***
βGARCH	0.8172	20.89***

γ₁	-0.7181	-1.54
γ₂	1.0704	1.54
γ₃	0.0008	0.00
γ₄	-0.7541	-2.28**
γ₅	0.7367	2.08**
γ₆	-0.8921	-2.20**
γ₇	1.2077	2.58***
γ₈	-0.0826	-0.11
γ₉	-3.0670	-2.29**
γ₁₀	5.0402	2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3570	5.25***
α ARCH Response to squared shocks	0.0941	4.39***
β GARCH Volatility persistence	0.8172	20.89***

γ₁	-0.7181	-1.54
γ₂	1.0704	1.54
γ₃	0.0008	0.00
γ₄	-0.7541	-2.28**
γ₅	0.7367	2.08**
γ₆	-0.8921	-2.20**
γ₇	1.2077	2.58***
γ₈	-0.0826	-0.11
γ₉	-3.0670	-2.29**
γ₁₀	5.0402	2.43**

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses