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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	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8216	167.92***
γ leverage Additional response to negative shocks	0.1868	44.95***
λ₁ tau intercept Baseline long-term coefficient	0.0087	5.13***
λ₂ forecast adj. Forecast performance sensitivity	0.0462	6.03***
λ₃ tau persistence Long-term factor persistence	0.9500	115.86***

V-Lab

NASDAQ 100 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NASDAQ 100 Analyses