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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.4337	16.96***
β GARCH Volatility persistence	0.1891	4.84***
γ leverage Additional response to negative shocks	-0.2759	-5.69***
λ₁ tau intercept Baseline long-term coefficient	1.8378	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.3267	0.98
λ₃ tau persistence Long-term factor persistence	0.6733	1.98**

V-Lab

T-Bull SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other T-Bull SA Analyses