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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	41
α ARCH Response to squared shocks	0.1770	5.32***
β GARCH Volatility persistence	0.5839	12.58***
γ leverage Additional response to negative shocks	-0.0377	-0.88
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.59
λ₂ forecast adj. Forecast performance sensitivity	1.0000	1.65*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Zhongchao Inc MF2-GARCH Volatility Analysis

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