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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	1.3797	7.47***
α ARCH Response to squared shocks	0.0527	2.05**
β GARCH Volatility persistence	0.7701	7.16***

γ₁	0.4047	3.27***
γ₂	-0.5000	-3.20***

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Giant Biogene Holding Co Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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