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	36
α ARCH Response to squared shocks	0.1701	1.06
β GARCH Volatility persistence	0.7601	30.83***
γ leverage Additional response to negative shocks	-0.1701	-0.46
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.1638	6.49***
λ₃ tau persistence Long-term factor persistence	0.8362	4.80***

V-Lab

Schindler Holding Ag ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Schindler Holding Ag Analyses