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	86
α ARCH Response to squared shocks	0.0508	7.83***
β GARCH Volatility persistence	0.9311	210.56***
γ leverage Additional response to negative shocks	-0.0060	-0.30
λ₁ tau intercept Baseline long-term coefficient	10.0000	6.29***
λ₂ forecast adj. Forecast performance sensitivity	0.6429	8.16***
λ₃ tau persistence Long-term factor persistence	0.3208	5.77***

V-Lab

ABN AMRO Group NV ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ABN AMRO Group NV Analyses