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	0.1804	1.29
β GARCH Volatility persistence	0.7857	116.52***
γ leverage Additional response to negative shocks	-0.1804	-0.67
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.68
λ₂ forecast adj. Forecast performance sensitivity	1.0000	1.37
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

V-Lab

Brass Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Brass Corp Analyses