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	66
α ARCH Response to squared shocks	0.1248	0.24
β GARCH Volatility persistence	0.8744	33.60***
γ leverage Additional response to negative shocks	-0.1248	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.63
λ₂ forecast adj. Forecast performance sensitivity	0.0215	0.29
λ₃ tau persistence Long-term factor persistence	0.9582	12.89***

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Bluememe Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bluememe Inc Analyses