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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	5.0000	1.35
α ARCH Response to squared shocks	0.0120	0.85
β GARCH Volatility persistence	0.9658	30.94***
γ leverage Additional response to negative shocks	-0.0120	-1.09

V-Lab

Lianhe Sowell International Group Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Lianhe Sowell International Group Ltd Analyses