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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	61
α ARCH Response to squared shocks	0.0189	9.16***
β GARCH Volatility persistence	0.8610	321.76***
γ leverage Additional response to negative shocks	0.1435	44.23***
λ₁ tau intercept Baseline long-term coefficient	0.0017	7.90***
λ₂ forecast adj. Forecast performance sensitivity	0.0137	13.32***
λ₃ tau persistence Long-term factor persistence	0.9851	867.95***

V-Lab

S&P SmallCap 600 Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P SmallCap 600 Index Analyses