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	106
α ARCH Response to squared shocks	0.1431	10.30***
β GARCH Volatility persistence	0.8504	362.35***
γ leverage Additional response to negative shocks	0.0080	0.27
λ₁ tau intercept Baseline long-term coefficient	10.0000	8.40***
λ₂ forecast adj. Forecast performance sensitivity	0.9953	9.83***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Yamashin-Filter Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yamashin-Filter Corp Analyses