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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	3.4994	4.71***
α ARCH Response to squared shocks	0.0589	37.40***
β GARCH Volatility persistence	0.9916	546.96***
ν DF Student-t tail thickness	5.1094	10.35***

V-Lab

Walt Disney Co/The GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses