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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	21
α ARCH Response to squared shocks	0.1718	24.91***
β GARCH Volatility persistence	0.7960	42.98***
γ leverage Additional response to negative shocks	-0.0124	-1.84*
λ₁ tau intercept Baseline long-term coefficient	1.2149	1.30
λ₂ forecast adj. Forecast performance sensitivity	0.0075	0.54
λ₃ tau persistence Long-term factor persistence	0.8512	9.67***

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Virgo Global Ltd MF2-GARCH Volatility Analysis

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