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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	1.5732	12.90***
α ARCH Response to squared shocks	0.0737	9.15***
β GARCH Volatility persistence	0.7543	54.90***
γ leverage Additional response to negative shocks	0.1150	5.05***

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SRT Marine Systems PLC GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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