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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.3679	18.96***
β GARCH Volatility persistence	0.0976	4.13***
γ leverage Additional response to negative shocks	-0.1855	-6.43***
λ₁ tau intercept Baseline long-term coefficient	4.4315	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.3976	0.63
λ₃ tau persistence Long-term factor persistence	0.4655	0.52

V-Lab

ZIP Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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