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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	111
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8899	107.34***
γ leverage Additional response to negative shocks	0.1492	24.08***
λ₁ tau intercept Baseline long-term coefficient	0.5767	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0568	0.07
λ₃ tau persistence Long-term factor persistence	0.4062	0.04

V-Lab

John Hancock FD ALL C C ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other John Hancock FD ALL C C ETF Analyses