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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	26
α ARCH Response to squared shocks	0.0508	15.77***
β GARCH Volatility persistence	0.7796	84.10***
γ leverage Additional response to negative shocks	0.1008	20.25***
λ₁ tau intercept Baseline long-term coefficient	0.0078	5.24***
λ₂ forecast adj. Forecast performance sensitivity	0.0500	5.21***
λ₃ tau persistence Long-term factor persistence	0.9425	88.35***

V-Lab

Dow Jones Utilities Average MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Utilities Average Analyses