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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	1.1538	6.80***
α ARCH Response to squared shocks	0.0869	36.51***
β GARCH Volatility persistence	0.9876	506.98***
ν DF Student-t tail thickness	7.0163	7.15***

V-Lab

Dow Jones Industrial Average GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses