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	71
α ARCH Response to squared shocks	0.1921	10.51***
β GARCH Volatility persistence	0.8166	356.90***
γ leverage Additional response to negative shocks	-0.1708	-3.52***
λ₁ tau intercept Baseline long-term coefficient	0.2444	17.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9934	1,276.89***

V-Lab

Solelytex Industrial Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Solelytex Industrial Corp Analyses