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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	76
α ARCH Response to squared shocks	0.0870	11.40***
β GARCH Volatility persistence	0.6430	30.32***
γ leverage Additional response to negative shocks	0.0918	9.04***
λ₁ tau intercept Baseline long-term coefficient	1.1982	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.6275	0.18
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

News Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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