How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.2943	0.27
β GARCH Volatility persistence	0.7496	128.12***
γ leverage Additional response to negative shocks	-0.2943	-0.17
λ₁ tau intercept Baseline long-term coefficient	9.9992	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.5307	2.07**

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Bemap Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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