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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6058	5.00***
α ARCH Response to squared shocks	0.1986	5.69***
β GARCH Volatility persistence	0.6398	12.91***

γ₁	0.0329	0.56
γ₂	-0.1118	-1.26
γ₃	0.1173	1.68*
γ₄	-0.0528	-0.85
γ₅	0.0640	0.97
γ₆	-0.1481	-1.80*
γ₇	0.2079	2.82***
γ₈	-0.2075	-3.61***
γ₉	0.2552	3.24***

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Ballard Power Systems Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ballard Power Systems Inc Analyses