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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	0.0546	20.17***
β GARCH Volatility persistence	0.8221	95.23***
γ leverage Additional response to negative shocks	0.0567	13.32***
λ₁ tau intercept Baseline long-term coefficient	0.0105	2.49**
λ₂ forecast adj. Forecast performance sensitivity	0.0382	3.46***
λ₃ tau persistence Long-term factor persistence	0.9578	75.21***

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AT&T Inc MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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