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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	0.8367	206.09***
γ leverage Additional response to negative shocks	0.2157	42.14***
λ₁ tau intercept Baseline long-term coefficient	0.0122	5.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0547	3.93***
λ₃ tau persistence Long-term factor persistence	0.9350	58.68***

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S&P Composite 1500 Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Composite 1500 Index Analyses