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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	0.6586	2.95***
α ARCH Response to squared shocks	0.1068	2.32**
β GARCH Volatility persistence	0.7016	5.53***

γ₁	7.1815	1.91*
γ₂	-7.5403	-1.41
γ₃	-2.8141	-0.78
γ₄	7.1370	1.51
γ₅	-7.7250	-1.62
γ₆	8.1205	2.20**
γ₇	-10.4465	-2.01**
γ₈	12.1674	1.80*
γ₉	-10.6783	-1.96*
γ₁₀	6.2280	2.09**

V-Lab

Valbiotis SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Valbiotis SA Analyses