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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	0.0302	12.24***
α ARCH Response to squared shocks	0.0107	3.15***
β GARCH Volatility persistence	0.8908	408.81***
γ leverage Additional response to negative shocks	0.1482	19.39***

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Dow Jones Euro Stoxx Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Euro Stoxx Index Analyses