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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	126
α ARCH Response to squared shocks	0.0315	16.46***
β GARCH Volatility persistence	0.8905	263.54***
γ leverage Additional response to negative shocks	0.0720	20.63***
λ₁ tau intercept Baseline long-term coefficient	0.0141	6.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0198	7.92***
λ₃ tau persistence Long-term factor persistence	0.9766	370.64***

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Boeing Co/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Boeing Co/The Analyses