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	0.2515	0.07
β GARCH Volatility persistence	0.8149	59.45***
γ leverage Additional response to negative shocks	-0.1428	-0.02
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.07
λ₂ forecast adj. Forecast performance sensitivity	0.3502	0.07
λ₃ tau persistence Long-term factor persistence	0.0153	0.06

V-Lab

ETHK Labs Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ETHK Labs Inc Analyses