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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	51
α ARCH Response to squared shocks	0.5000	24.87***
β GARCH Volatility persistence	0.0000	0.17
γ leverage Additional response to negative shocks	-0.5000	-24.87***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.2174	2.14**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Guangdong Tianyu Semiconductor Co Ltd MF2-GARCH Volatility Analysis

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