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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	1.4576	7.13***
α ARCH Response to squared shocks	0.1026	9.66***
β GARCH Volatility persistence	0.8644	72.00***

γ₁	0.0743	5.80***
γ₂	-0.1165	-5.65***
γ₃	0.0648	4.27***
γ₄	-0.0386	-2.82***
γ₅	0.0374	2.24**
γ₆	-0.0452	-1.78*

V-Lab

Dow Jones Industrial Average Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses