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	0.3100	2.56**
β GARCH Volatility persistence	0.7139	58.68***
γ leverage Additional response to negative shocks	-0.3100	-2.23**
λ₁ tau intercept Baseline long-term coefficient	5.8046	4.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9582	101.04***

V-Lab

Groundhog Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Groundhog Inc Analyses