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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	0.7669	6.41***
α ARCH Response to squared shocks	0.1079	10.65***
β GARCH Volatility persistence	0.8554	72.23***

γ₁	0.0350	3.77***
γ₂	-0.0466	-3.27***
γ₃	0.0020	0.19
γ₄	0.0236	2.74***
γ₅	-0.0210	-3.54***

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