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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	0.1157	14.45***
β GARCH Volatility persistence	0.7606	49.27***
γ leverage Additional response to negative shocks	0.0180	1.50
λ₁ tau intercept Baseline long-term coefficient	0.0097	2.72***
λ₂ forecast adj. Forecast performance sensitivity	0.0209	4.05***
λ₃ tau persistence Long-term factor persistence	0.9789	173.79***

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Asaka Industrial Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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