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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	0.6656	6.57***
α ARCH Response to squared shocks	0.1482	5.09***
β GARCH Volatility persistence	0.7339	16.16***

γ₁	-0.3841	-2.43**
γ₂	0.5399	2.34**
γ₃	-0.3049	-1.89*
γ₄	0.4199	2.05**
γ₅	-0.6367	-3.01***
γ₆	0.7253	3.58***
γ₇	-0.6362	-3.18***
γ₈	0.4408	1.87*
γ₉	-0.2181	-1.11

V-Lab

Landi Renzo SPA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Landi Renzo SPA Analyses