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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	0.0545	20.14***
β GARCH Volatility persistence	0.8222	94.72***
γ leverage Additional response to negative shocks	0.0564	13.25***
λ₁ tau intercept Baseline long-term coefficient	0.0106	2.47**
λ₂ forecast adj. Forecast performance sensitivity	0.0387	3.42***
λ₃ tau persistence Long-term factor persistence	0.9573	73.55***

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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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