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	51
α ARCH Response to squared shocks	0.1325	1.78*
β GARCH Volatility persistence	0.6944	25.29***
γ leverage Additional response to negative shocks	0.3462	2.91***
λ₁ tau intercept Baseline long-term coefficient	5.3595	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.9997	2.01**
λ₃ tau persistence Long-term factor persistence	0.0003	0.09

V-Lab

Altarea SCA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Altarea SCA Analyses