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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	61
α ARCH Response to squared shocks	0.0164	10.48***
β GARCH Volatility persistence	0.8998	172.47***
γ leverage Additional response to negative shocks	0.0681	20.93***
λ₁ tau intercept Baseline long-term coefficient	0.0094	3.29***
λ₂ forecast adj. Forecast performance sensitivity	0.0165	4.26***
λ₃ tau persistence Long-term factor persistence	0.9825	239.87***

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Applied Materials Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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