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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	66
α ARCH Response to squared shocks	0.0082	5.57***
β GARCH Volatility persistence	0.8854	293.07***
γ leverage Additional response to negative shocks	0.1372	38.58***
λ₁ tau intercept Baseline long-term coefficient	0.0109	7.74***
λ₂ forecast adj. Forecast performance sensitivity	0.0272	6.68***
λ₃ tau persistence Long-term factor persistence	0.9703	216.39***

V-Lab

American Express Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other American Express Co Analyses