How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0958	31.14***
β GARCH Volatility persistence	0.9039	271.12***
γ leverage Additional response to negative shocks	-0.0021	-1.63
λ₁ tau intercept Baseline long-term coefficient	91,082.7500

V-Lab

Adtran Networks SE ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Adtran Networks SE Analyses