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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	3.0320	5.09***
α ARCH Response to squared shocks	0.0847	2.58***
β GARCH Volatility persistence	0.4938	2.69***

γ₁	2.3868	3.52***
γ₂	-2.6616	-2.50**
γ₃	0.8692	1.00
γ₄	-1.6054	-1.98**
γ₅	1.9957	2.64***
γ₆	-1.3902	-2.41**

V-Lab

Goodtech ASA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goodtech ASA Analyses