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	126
α ARCH Response to squared shocks	0.2466	0.80
β GARCH Volatility persistence	0.7807	227.66***
γ leverage Additional response to negative shocks	-0.2466	-0.45
λ₁ tau intercept Baseline long-term coefficient	0.6139	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.06
λ₃ tau persistence Long-term factor persistence	0.9382	54.67***

V-Lab

Dawn Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dawn Corp Analyses