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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	0.5881	11.94***
α ARCH Response to squared shocks	0.0726	7.29***
β GARCH Volatility persistence	0.7943	60.43***
γ leverage Additional response to negative shocks	0.0398	1.29

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FDM Group (Holdings) plc GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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