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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	2.5112	5.81***
α ARCH Response to squared shocks	0.2359	4.72***
β GARCH Volatility persistence	0.5883	7.89***

γ₁	0.4133	2.60***
γ₂	-0.7671	-2.80***
γ₃	0.9371	3.64***
γ₄	-0.9937	-3.32***
γ₅	0.5188	2.20**

V-Lab

TON Strategy Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TON Strategy Co Analyses