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	0.1690	0.78
β GARCH Volatility persistence	0.8346	389.83***
γ leverage Additional response to negative shocks	-0.1690	-0.43
λ₁ tau intercept Baseline long-term coefficient	5.0682	3.84***
λ₂ forecast adj. Forecast performance sensitivity	0.0021	1.59
λ₃ tau persistence Long-term factor persistence	0.9728	33.20***

V-Lab

Plastron Precision ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Plastron Precision Analyses