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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	1.0000	2.31**
α ARCH Response to squared shocks	0.1459	5.09***
β GARCH Volatility persistence	0.4768	4.08***
γ leverage Additional response to negative shocks	-0.0212	-0.36
δ power Transformation power	1.8874	2.58***

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Caisse Regionale De Credit Agricole Mutuel Toulouse 31 Asy. Power MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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