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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	0.0332	15.74***
β GARCH Volatility persistence	0.8895	172.58***
γ leverage Additional response to negative shocks	0.0562	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	156.59***

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Walt Disney Co/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Walt Disney Co/The Analyses