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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	35.8907	2.80***
α ARCH Response to squared shocks	0.0528	10.69***
β GARCH Volatility persistence	0.9677	77.65***
ν DF Student-t tail thickness	2.8371	7.90***

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Marketingforce Management GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Marketingforce Management Analyses