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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2113	20.28***
β GARCH Volatility persistence	0.4495	11.37***
γ leverage Additional response to negative shocks	-0.0096	-0.55
λ₁ tau intercept Baseline long-term coefficient	1.8964	1.13
λ₂ forecast adj. Forecast performance sensitivity	0.1354	1.05
λ₃ tau persistence Long-term factor persistence	0.7756	3.76***

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Ballard Power Systems Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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