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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	1.9598	9.76***
α ARCH Response to squared shocks	0.0703	30.32***
β GARCH Volatility persistence	0.9834	536.19***
ν DF Student-t tail thickness	7.8665	4.86***

V-Lab

Dow Jones Transportation Average GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Transportation Average Analyses