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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	0.0240
β GARCH Volatility persistence	0.3407
γ leverage Additional response to negative shocks	0.3939
λ₁ tau intercept Baseline long-term coefficient	0.0825
λ₂ forecast adj. Forecast performance sensitivity	0.0038
λ₃ tau persistence Long-term factor persistence	0.0075

V-Lab

Wealthfront Corp MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wealthfront Corp Analyses