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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	21
α ARCH Response to squared shocks	0.2866	14.70***
β GARCH Volatility persistence	0.4985	27.40***
γ leverage Additional response to negative shocks	0.0939	2.66***
λ₁ tau intercept Baseline long-term coefficient	0.0208	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0258	3.86***
λ₃ tau persistence Long-term factor persistence	0.9742	102.17***

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Yestar Healthcare Holdings Co Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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