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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	0.0000	0.00
β GARCH Volatility persistence	0.8384	208.03***
γ leverage Additional response to negative shocks	0.2130	41.97***
λ₁ tau intercept Baseline long-term coefficient	0.0119	5.45***
λ₂ forecast adj. Forecast performance sensitivity	0.0534	3.95***
λ₃ tau persistence Long-term factor persistence	0.9363	60.34***

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S&P Composite 1500 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Composite 1500 Index Analyses