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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	0.8029	2.60***
α ARCH Response to squared shocks	0.3584	5.98***
β GARCH Volatility persistence	0.2025	1.87*

γ₁	-3.7877	-1.72*
γ₂	7.1794	2.45**
γ₃	-6.2577	-3.79***
γ₄	7.7261	4.44***
γ₅	-9.9759	-5.59***
γ₆	7.9518	5.10***
γ₇	-3.9891	-2.78***
γ₈	1.3104	1.16

V-Lab

T-Bull SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T-Bull SA Analyses