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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	46
α ARCH Response to squared shocks	0.5000	10.14***
β GARCH Volatility persistence	0.6673	16.25***
γ leverage Additional response to negative shocks	-0.5000	-10.06***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0009	0.03
λ₃ tau persistence Long-term factor persistence	0.5084	41.55***

V-Lab

Toyo Securities Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Toyo Securities Co Ltd Analyses