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	31
α ARCH Response to squared shocks	0.2029	0.48
β GARCH Volatility persistence	0.7532	87.60***
γ leverage Additional response to negative shocks	-0.0169	-0.02
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.0821	0.55
λ₃ tau persistence Long-term factor persistence	0.9165	40.35***

V-Lab

Crops Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crops Corp Analyses