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	21
α ARCH Response to squared shocks	0.1570	0.19
β GARCH Volatility persistence	0.7538	24.14***
γ leverage Additional response to negative shocks	-0.1271	-0.07
λ₁ tau intercept Baseline long-term coefficient	9.9499	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.4837	0.37
λ₃ tau persistence Long-term factor persistence	0.5066	0.38

V-Lab

Phytohealth Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Phytohealth Corp Analyses