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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	0.0000	2.50**
β GARCH Volatility persistence	0.4213	859.79***
γ leverage Additional response to negative shocks	0.5000	44.27***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0109	57.92***
λ₃ tau persistence Long-term factor persistence	0.0001	1.91*

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Aumovio SE MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Aumovio SE Analyses