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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	0.0379	8.88***
α ARCH Response to squared shocks	0.0656	5.72***
β GARCH Volatility persistence	0.9769	379.38***
γ leverage Additional response to negative shocks	-0.0009	-0.15

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Gujarat Energy Ltd EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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