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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	1.1140	7.52***
α ARCH Response to squared shocks	0.0860	8.41***
β GARCH Volatility persistence	0.8380	45.83***

γ₁	0.0123	0.43
γ₂	0.0285	0.66
γ₃	-0.1490	-4.66***
γ₄	0.2006	6.55***
γ₅	-0.1340	-4.00***
γ₆	0.0577	1.60
γ₇	-0.0037	-0.11
γ₈	-0.0230	-0.81
γ₉	0.0088	0.42

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Procter & Gamble Co/The Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses