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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	0.8482	6.14***
α ARCH Response to squared shocks	0.0691	6.27***
β GARCH Volatility persistence	0.8771	40.95***

γ₁	-0.0345	-1.05
γ₂	0.0947	2.05**
γ₃	-0.1581	-5.36***
γ₄	0.1788	6.17***
γ₅	-0.1383	-4.21***
γ₆	0.1147	2.52**
γ₇	-0.0820	-1.79*
γ₈	0.0232	0.83

V-Lab

Walt Disney Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses