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	56
α ARCH Response to squared shocks	0.2526	0.12
β GARCH Volatility persistence	0.6774	10.29***
γ leverage Additional response to negative shocks	-0.2526	-0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.09**
λ₂ forecast adj. Forecast performance sensitivity	0.3050	0.37
λ₃ tau persistence Long-term factor persistence	0.6950	0.42

V-Lab

Atlas Menkul Kiymetler Yatir ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Atlas Menkul Kiymetler Yatir Analyses