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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	101
α ARCH Response to squared shocks	0.1002	0.08
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.1002	-0.08
λ₁ tau intercept Baseline long-term coefficient	1.2436	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0119	0.02
λ₃ tau persistence Long-term factor persistence	0.9881	0.39

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Lianhe Sowell International Group Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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