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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	91
α ARCH Response to squared shocks	0.4560	28.66***
β GARCH Volatility persistence	0.6200	57.36***
γ leverage Additional response to negative shocks	-0.3581	-23.29***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8365	1.38

V-Lab

PowerBank Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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