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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	0.9469	7.66***
α ARCH Response to squared shocks	0.0713	8.85***
β GARCH Volatility persistence	0.8848	69.54***

γ₁	0.0333	1.46
γ₂	-0.0161	-0.47
γ₃	-0.0960	-3.88***
γ₄	0.1420	6.32***
γ₅	-0.0915	-4.52***
γ₆	0.0679	2.92***
γ₇	-0.0632	-2.48**
γ₈	0.0221	1.08

V-Lab

AT&T Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other AT&T Inc Analyses