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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	46
α ARCH Response to squared shocks	0.3064	7.90***
β GARCH Volatility persistence	0.2975	4.31***
γ leverage Additional response to negative shocks	-0.0886	-0.91
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.30
λ₂ forecast adj. Forecast performance sensitivity	0.0379	0.23
λ₃ tau persistence Long-term factor persistence	0.8651	1.91*

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Brera Holdings Plc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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