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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	71
α ARCH Response to squared shocks	0.0029	1.44
β GARCH Volatility persistence	0.8541	294.42***
γ leverage Additional response to negative shocks	0.1722	48.79***
λ₁ tau intercept Baseline long-term coefficient	0.0203	6.37***
λ₂ forecast adj. Forecast performance sensitivity	0.1356	6.19***
λ₃ tau persistence Long-term factor persistence	0.8447	34.05***

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S&P 500 Equal Weight Index (EWI) MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other S&P 500 Equal Weight Index (EWI) Analyses