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	0.1558	0.86
β GARCH Volatility persistence	0.8487	177.92***
γ leverage Additional response to negative shocks	-0.1558	-0.71
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.20
λ₂ forecast adj. Forecast performance sensitivity	0.0092	0.82
λ₃ tau persistence Long-term factor persistence	0.7270	8.37***

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Polytronics Technology Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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