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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	0.0322	22.03***
α ARCH Response to squared shocks	0.0280	11.89***
β GARCH Volatility persistence	0.9027	497.33***
γ leverage Additional response to negative shocks	0.1152	21.68***

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NASDAQ 100 GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other NASDAQ 100 Analyses