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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	1.2024	8.25***
α ARCH Response to squared shocks	0.0903	7.72***
β GARCH Volatility persistence	0.8703	61.09***

γ₁	0.0629	2.35**
γ₂	-0.0445	-0.93
γ₃	-0.1078	-2.87***
γ₄	0.2174	8.72***
γ₅	-0.2318	-7.48***
γ₆	0.1594	5.08***
γ₇	-0.0783	-3.07***
γ₈	0.0283	1.54

V-Lab

Bank of America Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bank of America Corp Analyses