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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	0.3578	6.65***
β GARCH Volatility persistence	0.4323	16.86***
γ leverage Additional response to negative shocks	-0.2069	-3.58***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8601	1.32

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Mobile-Health Network Soltns MF2-GARCH Volatility Analysis

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