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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	0.6717	6.51***
α ARCH Response to squared shocks	0.1451	5.01***
β GARCH Volatility persistence	0.7421	16.26***

γ₁	-0.3732	-2.33**
γ₂	0.5203	2.23**
γ₃	-0.2836	-1.75*
γ₄	0.3936	1.92*
γ₅	-0.6124	-2.92***
γ₆	0.7077	3.55***
γ₇	-0.6242	-3.22***
γ₈	0.4337	1.90*
γ₉	-0.2158	-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