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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	0.7047	4.40***
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	-0.5000	-2.07**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.5241	0.67
λ₃ tau persistence Long-term factor persistence	0.4759	0.42

V-Lab

Society Pass Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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