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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	45.0766	3.21***
α ARCH Response to squared shocks	0.1765	11.51***
β GARCH Volatility persistence	0.9387	45.60***
ν DF Student-t tail thickness	4.2404	5.27***

V-Lab

PowerBank Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other PowerBank Corp Analyses