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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	0.0177	26.51***
α ARCH Response to squared shocks	0.0482	18.55***
β GARCH Volatility persistence	0.9052	473.69***
γ leverage Additional response to negative shocks	0.0596	11.17***

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Dow Jones Utilities Average GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Utilities Average Analyses