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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	4.2784	2.25**
α ARCH Response to squared shocks	0.2751	2.32**
β GARCH Volatility persistence	0.0000	0.00

γ₁	2,143.5652	4.35***
γ₂	-3,176.9192	-3.98***
γ₃	1,948.9345	2.99***
γ₄	-1,807.6950	-3.16***
γ₅	1,596.3973	2.60***
γ₆	-1,392.1864	-1.53
γ₇	883.4806	0.90
γ₈	369.1907	0.48
γ₉	-824.9317	-1.89*

V-Lab

City of London Investment Group PLC Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other City of London Investment Group PLC Analyses