How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1642	0.16
β GARCH Volatility persistence	0.7331	14.79***
γ leverage Additional response to negative shocks	-0.0393	-0.02
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0839	0.20
λ₃ tau persistence Long-term factor persistence	0.9138	8.46***

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Information Planning Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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