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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	1.0008	8.34***
α ARCH Response to squared shocks	0.0831	8.11***
β GARCH Volatility persistence	0.8466	46.07***

γ₁	-0.0013	-0.04
γ₂	0.0794	1.55
γ₃	-0.1936	-6.36***
γ₄	0.1882	7.01***
γ₅	-0.1186	-3.63***
γ₆	0.1167	2.66***
γ₇	-0.1479	-2.88***
γ₈	0.1294	2.68***
γ₉	-0.0710	-2.26**

V-Lab

Bristol-Myers Squibb Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bristol-Myers Squibb Co Analyses