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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	86
α ARCH Response to squared shocks	0.0000	0.91
β GARCH Volatility persistence	0.9206	190.01***
γ leverage Additional response to negative shocks	0.1588	19.40***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0000	1.00
λ₃ tau persistence Long-term factor persistence	0.0616	31.22***

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BOYD GROUP SERVICES INC MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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