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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	0.0070	7.06***
α ARCH Response to squared shocks	0.0553	17.46***
β GARCH Volatility persistence	0.9447	301.04***
γ leverage Additional response to negative shocks	0.2476	10.10***
δ power Transformation power	0.5000	3.38***

V-Lab

Victoria's Secret & Co Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Victoria's Secret & Co Analyses