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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4534	6.99***
α ARCH Response to squared shocks	0.1025	9.73***
β GARCH Volatility persistence	0.8658	73.45***

γ₁	0.0722	5.55***
γ₂	-0.1127	-5.39***
γ₃	0.0612	3.97***
γ₄	-0.0335	-2.46**
γ₅	0.0279	1.89*
γ₆	-0.0224	-2.01**

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