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	66
α ARCH Response to squared shocks	0.2839	2.30**
β GARCH Volatility persistence	0.7109	61.94***
γ leverage Additional response to negative shocks	-0.2839	-1.17
λ₁ tau intercept Baseline long-term coefficient	0.4080	3.32***
λ₂ forecast adj. Forecast performance sensitivity	0.0283	2.75***
λ₃ tau persistence Long-term factor persistence	0.9674	223.78***

V-Lab

Nms Holdings Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nms Holdings Corp Analyses