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	116
α ARCH Response to squared shocks	0.1947	3.19***
β GARCH Volatility persistence	0.8178	56.24***
γ leverage Additional response to negative shocks	-0.1947	-17.99***
λ₁ tau intercept Baseline long-term coefficient	5.7166	8.61***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7479	22.84***

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M3 Technology Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other M3 Technology Inc Analyses