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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	0.4522	4.75***
α ARCH Response to squared shocks	0.1561	4.46***
β GARCH Volatility persistence	0.6065	6.22***

γ₁	-0.0355	-0.04
γ₂	0.8711	0.66
γ₃	-1.5434	-1.67*
γ₄	1.4986	1.44
γ₅	0.0743	0.06
γ₆	-2.8753	-1.94*
γ₇	2.9833	2.33**
γ₈	-0.7364	-0.62
γ₉	1.8055	1.18
γ₁₀	-4.3337	-3.79***

V-Lab

IMV Inc. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IMV Inc. Analyses