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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	21
α ARCH Response to squared shocks	0.3907	7.18***
β GARCH Volatility persistence	0.4481	8.36***
γ leverage Additional response to negative shocks	-0.3413	-6.67***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0083	0.35
λ₃ tau persistence Long-term factor persistence	0.8496	0.83

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Mobile-Health Network Soltns MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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