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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	1.4713	7.11***
α ARCH Response to squared shocks	0.1028	9.76***
β GARCH Volatility persistence	0.8653	73.28***

γ₁	0.0732	5.68***
γ₂	-0.1140	-5.48***
γ₃	0.0616	4.02***
γ₄	-0.0336	-2.48**
γ₅	0.0280	1.91*
γ₆	-0.0227	-2.05**

V-Lab

Dow Jones Industrial Average Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses