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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	0.0216	22.74***
α ARCH Response to squared shocks	0.0094	4.25***
β GARCH Volatility persistence	0.8937	463.04***
γ leverage Additional response to negative shocks	0.1538	26.49***

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Dow Jones Industrial Average GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses