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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	12.3201	2.92***
α ARCH Response to squared shocks	0.0504	15.43***
β GARCH Volatility persistence	0.9828	163.64***
ν DF Student-t tail thickness	3.2673	8.63***

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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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