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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.4708	28.44***
β GARCH Volatility persistence	0.6269	57.78***
γ leverage Additional response to negative shocks	-0.4078	-25.78***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8388	2.16**

V-Lab

PowerBank Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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