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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	0.0889	11.67***
β GARCH Volatility persistence	0.6445	30.44***
γ leverage Additional response to negative shocks	0.0880	8.73***
λ₁ tau intercept Baseline long-term coefficient	1.2016	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.6274	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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