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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	0.0312	16.70***
β GARCH Volatility persistence	0.8952	254.60***
γ leverage Additional response to negative shocks	0.0739	22.96***
λ₁ tau intercept Baseline long-term coefficient	0.0122	6.73***
λ₂ forecast adj. Forecast performance sensitivity	0.0235	5.38***
λ₃ tau persistence Long-term factor persistence	0.9714	188.88***

V-Lab

Chevron Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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