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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	0.9353	8.23***
α ARCH Response to squared shocks	0.0904	10.32***
β GARCH Volatility persistence	0.8776	80.99***

γ₁	0.0139	0.54
γ₂	0.0268	0.64
γ₃	-0.1451	-4.56***
γ₄	0.1901	6.71***
γ₅	-0.1373	-5.33***
γ₆	0.0987	3.49***
γ₇	-0.0650	-2.30**
γ₈	0.0163	0.77

V-Lab

NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NASDAQ 100 Analyses