How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1872	63.42***
β GARCH Volatility persistence	0.8216	521.99***
γ leverage Additional response to negative shocks	-0.0193	-4.73***
λ₁ tau intercept Baseline long-term coefficient	43,535.8500

V-Lab

Forward Science Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Forward Science Corp Analyses