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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	32.0848	6.32***
α ARCH Response to squared shocks	0.0792	55.23***
β GARCH Volatility persistence	0.9930	1,077.02***
ν DF Student-t tail thickness	2.7774	80.22***

V-Lab

Litigation Capital Management Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Litigation Capital Management Ltd Analyses