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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	0.1084	4.98***
α ARCH Response to squared shocks	0.0257	7.26***
β GARCH Volatility persistence	0.9534	344.19***
γ leverage Additional response to negative shocks	0.0363	4.99***

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Litigation Capital Management Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Litigation Capital Management Ltd Analyses