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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.0463	4.53***
β GARCH Volatility persistence	0.8602	31.10***
γ leverage Additional response to negative shocks	-0.0333	-2.24**
λ₁ tau intercept Baseline long-term coefficient	0.0108	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.0073	0.66
λ₃ tau persistence Long-term factor persistence	0.9927	61.20***

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XTB S A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other XTB S A Analyses