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	111
α ARCH Response to squared shocks	0.0841	5.41***
β GARCH Volatility persistence	0.5403	18.46***
γ leverage Additional response to negative shocks	0.3346	6.36***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0290	0.22
λ₃ tau persistence Long-term factor persistence	0.9710	3.24***

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