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	31
α ARCH Response to squared shocks	0.0718	0.59
β GARCH Volatility persistence	0.8441	31.68***
γ leverage Additional response to negative shocks	-0.0718	-0.25
λ₁ tau intercept Baseline long-term coefficient	0.3349	1.06
λ₂ forecast adj. Forecast performance sensitivity	0.3071	3.46***
λ₃ tau persistence Long-term factor persistence	0.6929	1.10

V-Lab

AES Corp/VA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AES Corp/VA Analyses