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	0.1521	1.41
β GARCH Volatility persistence	0.8524	150.49***
γ leverage Additional response to negative shocks	-0.1521	-1.43
λ₁ tau intercept Baseline long-term coefficient	1.7477	1.91*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.23
λ₃ tau persistence Long-term factor persistence	0.9524	99.68***

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Polytronics Technology Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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