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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	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8474	274.70***
γ leverage Additional response to negative shocks	0.1933	42.70***
λ₁ tau intercept Baseline long-term coefficient	0.0172	6.56***
λ₂ forecast adj. Forecast performance sensitivity	0.0802	5.83***
λ₃ tau persistence Long-term factor persistence	0.9056	59.60***

V-Lab

iShares Core S&P U.S. Growth ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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