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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8499	6.16***
α ARCH Response to squared shocks	0.0689	6.29***
β GARCH Volatility persistence	0.8775	41.29***

γ₁	-0.0334	-1.02
γ₂	0.0925	2.01**
γ₃	-0.1562	-5.31***
γ₄	0.1775	6.16***
γ₅	-0.1381	-4.26***
γ₆	0.1157	2.56**
γ₇	-0.0846	-1.85*
γ₈	0.0256	0.91

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