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	0.1284	2.59***
β GARCH Volatility persistence	0.8771	336.83***
γ leverage Additional response to negative shocks	-0.1284	-0.34
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0001	2.14**
λ₃ tau persistence Long-term factor persistence	0.2054	14.69***

V-Lab

AGNT Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AGNT Inc Analyses