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	26
α ARCH Response to squared shocks	0.0520	1.28
β GARCH Volatility persistence	0.9046	20.54***
γ leverage Additional response to negative shocks	-0.0520	-0.42
λ₁ tau intercept Baseline long-term coefficient	0.0114	3.15***
λ₂ forecast adj. Forecast performance sensitivity	0.0294	2.06**
λ₃ tau persistence Long-term factor persistence	0.9698	27.33***

V-Lab

Abbott Laboratories ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Abbott Laboratories Analyses