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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	51
α ARCH Response to squared shocks	0.0098	0.91
β GARCH Volatility persistence	0.7612	27.05***
γ leverage Additional response to negative shocks	0.1413	8.35***
λ₁ tau intercept Baseline long-term coefficient	0.8132	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.1009	0.08
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Simplify NXT Intang Core IDX MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Simplify NXT Intang Core IDX Analyses