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	0.0653	11.61***
β GARCH Volatility persistence	0.8786	77.37***
γ leverage Additional response to negative shocks	-0.0087	-0.33
λ₁ tau intercept Baseline long-term coefficient	0.0885	1.31
λ₂ forecast adj. Forecast performance sensitivity	0.4107	8.08***
λ₃ tau persistence Long-term factor persistence	0.5851	11.43***

V-Lab

Boeing Co/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Boeing Co/The Analyses