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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	0.0994	25.80***
β GARCH Volatility persistence	0.7252	63.41***
γ leverage Additional response to negative shocks	0.0307	5.08***
λ₁ tau intercept Baseline long-term coefficient	0.0134	2.42**
λ₂ forecast adj. Forecast performance sensitivity	0.0165	4.45***
λ₃ tau persistence Long-term factor persistence	0.9811	218.89***

V-Lab

Ford Motor Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ford Motor Co Analyses