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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	0.5301	4.46***
α ARCH Response to squared shocks	0.1207	2.90***
β GARCH Volatility persistence	0.7473	6.49***

γ₁	1.0775	1.77*
γ₂	-1.3130	-1.40
γ₃	0.5496	0.80
γ₄	0.3775	0.47
γ₅	-1.9454	-1.67*
γ₆	1.7240	1.25
γ₇	1.3497	1.20
γ₈	-3.5471	-5.35***

V-Lab

IMV Inc. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IMV Inc. Analyses