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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	0.0545	3.04***
β GARCH Volatility persistence	0.7738	27.99***
γ leverage Additional response to negative shocks	0.3194	5.26***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.1439	0.23
λ₃ tau persistence Long-term factor persistence	0.8561	1.55

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Semilux International Ltd -Redh MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses