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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6068	5.94***
α ARCH Response to squared shocks	0.0680	2.31**
β GARCH Volatility persistence	0.4714	1.93*

γ₁	-6.5338	-4.22***
γ₂	9.6690	3.67***
γ₃	-4.1532	-1.80*
γ₄	1.8394	0.92
γ₅	-2.4350	-1.45
γ₆	2.7637	1.56
γ₇	-2.4284	-1.45
γ₈	3.8970	2.43**
γ₉	-4.7900	-2.62***
γ₁₀	2.7476	1.77*

V-Lab

Profound Medical Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Profound Medical Corp Analyses