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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	36
α ARCH Response to squared shocks	0.0201	8.23***
β GARCH Volatility persistence	0.8449	284.20***
γ leverage Additional response to negative shocks	0.1537	43.00***
λ₁ tau intercept Baseline long-term coefficient	0.0011	6.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0140	13.43***
λ₃ tau persistence Long-term factor persistence	0.9853	885.26***

V-Lab

Russell 2000 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russell 2000 Index Analyses