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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.7185	177.40***
γ leverage Additional response to negative shocks	0.5000	1,128.67***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.3642	12.14***
λ₃ tau persistence Long-term factor persistence	0.6358	10.91***

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Jaguar Uranium Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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