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	96
α ARCH Response to squared shocks	0.1510	0.65
β GARCH Volatility persistence	0.8402	147.62***
γ leverage Additional response to negative shocks	0.0076	0.02
λ₁ tau intercept Baseline long-term coefficient	0.0032	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.90
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

SPT Energy Group Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SPT Energy Group Inc Analyses