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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	0.0438	10.27***
α ARCH Response to squared shocks	0.0264	14.09***
β GARCH Volatility persistence	0.9368	493.05***
γ leverage Additional response to negative shocks	0.0520	9.62***

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Walt Disney Co/The GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses