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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	0.0533	3.79***
β GARCH Volatility persistence	0.8129	19.53***
γ leverage Additional response to negative shocks	-0.0372	-1.86*
λ₁ tau intercept Baseline long-term coefficient	0.0098	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0066	0.48
λ₃ tau persistence Long-term factor persistence	0.9934	46.95***

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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