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	31
α ARCH Response to squared shocks	0.1782	0.28
β GARCH Volatility persistence	0.7513	17.60***
γ leverage Additional response to negative shocks	0.1203	0.10
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.49
λ₂ forecast adj. Forecast performance sensitivity	0.3304	0.73
λ₃ tau persistence Long-term factor persistence	0.6696	0.96

V-Lab

SSR Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SSR Inc Analyses