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	126
α ARCH Response to squared shocks	0.2109	11.81***
β GARCH Volatility persistence	0.8088	346.81***
γ leverage Additional response to negative shocks	-0.0421	-1.18
λ₁ tau intercept Baseline long-term coefficient	3.3816	6.20***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9991	1,914.03***

V-Lab

Nextgen Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nextgen Inc Analyses