How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1925	0.03
β GARCH Volatility persistence	0.7168	3.15***
γ leverage Additional response to negative shocks	-0.0399	0.00
λ₁ tau intercept Baseline long-term coefficient	1.5372	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.2917	0.04
λ₃ tau persistence Long-term factor persistence	0.7083	0.28

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Digital Graphics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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