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	0.2531	1.35
β GARCH Volatility persistence	0.8362	109.41***
γ leverage Additional response to negative shocks	-0.2531	-0.72
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9858	191.99***

V-Lab

American Battery Tech Comp ILLIQ-MFMEM Liquidity Analysis

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