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	61
α ARCH Response to squared shocks	0.1645	1.90*
β GARCH Volatility persistence	0.8314	198.14***
γ leverage Additional response to negative shocks	-0.1645	-1.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.43***
λ₂ forecast adj. Forecast performance sensitivity	0.2700	3.92***
λ₃ tau persistence Long-term factor persistence	0.5845	5.51***

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Banque Cantonale Vaudoise ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Banque Cantonale Vaudoise Analyses