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	31
α ARCH Response to squared shocks	0.1208	1.07
β GARCH Volatility persistence	0.7937	54.93***
γ leverage Additional response to negative shocks	-0.1208	-0.48
λ₁ tau intercept Baseline long-term coefficient	0.0364	2.26**
λ₂ forecast adj. Forecast performance sensitivity	0.2795	4.40***
λ₃ tau persistence Long-term factor persistence	0.7118	3.43***

V-Lab

Sfa Engineering Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sfa Engineering Corp Analyses