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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	56
α ARCH Response to squared shocks	0.0651	10.58***
β GARCH Volatility persistence	0.8505	89.09***
γ leverage Additional response to negative shocks	0.1058	7.71***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2601	0.12

V-Lab

Landi Renzo SPA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Landi Renzo SPA Analyses