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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	1.4616	6.15***
α ARCH Response to squared shocks	0.0828	36.55***
β GARCH Volatility persistence	0.9899	585.76***
ν DF Student-t tail thickness	6.9626	7.55***

V-Lab

Dow Jones Euro Stoxx Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Euro Stoxx Index Analyses