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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0119	0.17
β GARCH Volatility persistence	0.9890	77.52***
γ leverage Additional response to negative shocks	-0.0119	-0.17
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0940	0.20
λ₃ tau persistence Long-term factor persistence	0.0003	0.00

V-Lab

Busy Ming Group Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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