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	71
α ARCH Response to squared shocks	0.7510	202.42***
β GARCH Volatility persistence	0.0000	10.00***
γ leverage Additional response to negative shocks	0.4866	65.91***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0069	143.27***
λ₃ tau persistence Long-term factor persistence	0.0000	2.00**

V-Lab

GMO TECH Holdings Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GMO TECH Holdings Inc Analyses