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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	12.9081	3.18***
α ARCH Response to squared shocks	0.0495	18.07***
β GARCH Volatility persistence	0.9855	219.00***
ν DF Student-t tail thickness	3.2868	10.42***

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XTB S A GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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