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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	0.1063	1.63
α ARCH Response to squared shocks	0.2537	3.04***
β GARCH Volatility persistence	0.7435	9.01***

γ₁	0.9492	0.05
γ₂	-17.3034	-0.43
γ₃	74.1594	1.34
γ₄	-105.1698	-1.56
γ₅	55.1422	1.11
γ₆	-11.8270	-0.45
γ₇	7.1203	0.33
γ₈	-5.3020	-0.24
γ₉	20.3752	0.77
γ₁₀	-34.2686	-1.34

V-Lab

Semilux International Ltd -Redh Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses