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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	0.0000	0.00
β GARCH Volatility persistence	0.8531	254.44***
γ leverage Additional response to negative shocks	0.1927	44.64***
λ₁ tau intercept Baseline long-term coefficient	0.0190	8.83***
λ₂ forecast adj. Forecast performance sensitivity	0.1195	10.96***
λ₃ tau persistence Long-term factor persistence	0.8649	68.07***

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Russell Midcap Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell Midcap Index Analyses