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	0.0518	10.62***
β GARCH Volatility persistence	0.9049	77.04***
γ leverage Additional response to negative shocks	-0.0518	-1.87*
λ₁ tau intercept Baseline long-term coefficient	0.0114	1.45
λ₂ forecast adj. Forecast performance sensitivity	0.0293	5.14***
λ₃ tau persistence Long-term factor persistence	0.9698	167.64***

V-Lab

Abbott Laboratories ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Abbott Laboratories Analyses