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	0.1023	18.44***
β GARCH Volatility persistence	0.9038	176.90***
γ leverage Additional response to negative shocks	-0.1023	-2.49**
λ₁ tau intercept Baseline long-term coefficient	0.0079	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.36
λ₃ tau persistence Long-term factor persistence	0.9282	116.89***

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Shyft Group Inc/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shyft Group Inc/The Analyses