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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9419	3.06***
α ARCH Response to squared shocks	0.1631	3.44***
β GARCH Volatility persistence	0.7461	11.40***

γ₁	-1.2510	-1.41
γ₂	1.7590	1.54

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XtalPi Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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