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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	0.0474	4.35***
β GARCH Volatility persistence	0.8520	27.65***
γ leverage Additional response to negative shocks	-0.0336	-2.12**
λ₁ tau intercept Baseline long-term coefficient	0.0107	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0072	0.61
λ₃ tau persistence Long-term factor persistence	0.9928	56.90***

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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