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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	86
α ARCH Response to squared shocks	0.7496
β GARCH Volatility persistence	0.0004
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.3161
λ₂ forecast adj. Forecast performance sensitivity	0.0028
λ₃ tau persistence Long-term factor persistence	0.2029

V-Lab

Thai Baht MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Thai Baht Analyses