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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	0.0101	2.02**
β GARCH Volatility persistence	0.7941	184.03***
γ leverage Additional response to negative shocks	0.2291	34.92***
λ₁ tau intercept Baseline long-term coefficient	0.0058	2.46**
λ₂ forecast adj. Forecast performance sensitivity	0.0202	3.31***
λ₃ tau persistence Long-term factor persistence	0.9743	114.43***

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Swiss Market Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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