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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	1.9409	7.15***
α ARCH Response to squared shocks	0.1036	12.13***
β GARCH Volatility persistence	0.8797	99.48***

γ₁	0.0082	3.72***
γ₂	-0.0088	-3.20***

V-Lab

Deutsche Borse TecDAX Total Return Selection Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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