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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	0.0249	1.83*
α ARCH Response to squared shocks	0.2284	1.75*
β GARCH Volatility persistence	0.7025	5.13***

γ₁	-3.4379	-0.36
γ₂	4.1936	0.28
γ₃	30.0427	2.92***
γ₄	-69.5946	-3.61***
γ₅	52.9303	1.95*
γ₆	-22.9478	-1.06
γ₇	22.5658	1.65*
γ₈	-29.1554	-1.90*
γ₉	57.1112	2.41**

V-Lab

Semilux International Ltd -Redh Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses