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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	0.0333	15.75***
β GARCH Volatility persistence	0.8893	172.28***
γ leverage Additional response to negative shocks	0.0563	12.52***
λ₁ tau intercept Baseline long-term coefficient	0.0165	3.48***
λ₂ forecast adj. Forecast performance sensitivity	0.0269	5.35***
λ₃ tau persistence Long-term factor persistence	0.9682	156.54***

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Walt Disney Co/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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