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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	21
α ARCH Response to squared shocks	0.0732	1.67*
β GARCH Volatility persistence	0.8158	4.81***
γ leverage Additional response to negative shocks	-0.0255	-0.86
λ₁ tau intercept Baseline long-term coefficient	5.9775	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Moreld AS MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Moreld AS Analyses