How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0462	21.41***
β GARCH Volatility persistence	0.9560	397.82***
γ leverage Additional response to negative shocks	-0.0086	-5.66***
λ₁ tau intercept Baseline long-term coefficient	2,358.9090

V-Lab

Choei Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Choei Inc Analyses