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	0.2670	0.11
β GARCH Volatility persistence	0.7684	193.27***
γ leverage Additional response to negative shocks	-0.2670	-0.06
λ₁ tau intercept Baseline long-term coefficient	0.0002	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.10
λ₃ tau persistence Long-term factor persistence	0.5224	1.82*

V-Lab

Asgent Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asgent Inc Analyses