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How illiquidity evolves over time

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.2158	12.34***
β GARCH Volatility persistence	0.6946	14.70***
γ leverage Additional response to negative shocks	-0.0549	-1.19
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.1821	0.37
λ₃ tau persistence Long-term factor persistence	0.7351	1.02

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TOP Kingwin Ltd MF2-GARCH Volatility Analysis

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