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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.6084	8.71***
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	-0.5000	-3.57***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.6819	0.53
λ₃ tau persistence Long-term factor persistence	0.3181	0.50

V-Lab

Society Pass Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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