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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	0.7668	6.41***
α ARCH Response to squared shocks	0.1077	10.65***
β GARCH Volatility persistence	0.8557	72.44***

γ₁	0.0349	3.78***
γ₂	-0.0465	-3.29***
γ₃	0.0022	0.21
γ₄	0.0232	2.71***
γ₅	-0.0207	-3.52***

V-Lab

Russell 2000 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 2000 Index Analyses