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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	0.0408	2.57**
β GARCH Volatility persistence	0.8060	38.74***
γ leverage Additional response to negative shocks	0.2565	5.89***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.82
λ₂ forecast adj. Forecast performance sensitivity	0.3578	0.33
λ₃ tau persistence Long-term factor persistence	0.6422	0.67

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Semilux International Ltd -Redh MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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