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	106
α ARCH Response to squared shocks	0.1561	0.83
β GARCH Volatility persistence	0.8647	299.30***
γ leverage Additional response to negative shocks	-0.0738	-0.20
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0010	0.23
λ₃ tau persistence Long-term factor persistence	0.9853	81.70***

V-Lab

Mksystem Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mksystem Corp Analyses