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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	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8448	238.71***
γ leverage Additional response to negative shocks	0.1880	45.75***
λ₁ tau intercept Baseline long-term coefficient	0.0184	5.46***
λ₂ forecast adj. Forecast performance sensitivity	0.0854	4.68***
λ₃ tau persistence Long-term factor persistence	0.8950	41.48***

V-Lab

Dow Jones Industrial Average MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Industrial Average Analyses