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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	0.0334	11.18***
β GARCH Volatility persistence	0.8804	222.17***
γ leverage Additional response to negative shocks	0.0911	18.59***
λ₁ tau intercept Baseline long-term coefficient	0.0082	7.52***
λ₂ forecast adj. Forecast performance sensitivity	0.0164	7.18***
λ₃ tau persistence Long-term factor persistence	0.9795	346.72***

V-Lab

Dow Jones Transportation Average MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Transportation Average Analyses