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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	31
α ARCH Response to squared shocks	0.1322	12.44***
β GARCH Volatility persistence	0.8717	76.01***
γ leverage Additional response to negative shocks	-0.1159	-11.96***
λ₁ tau intercept Baseline long-term coefficient	1.1150	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.8594	0.43
λ₃ tau persistence Long-term factor persistence	0.1373	0.07

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Grab Holdings Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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