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	26
α ARCH Response to squared shocks	0.0925	1.81*
β GARCH Volatility persistence	0.0000	0.05
γ leverage Additional response to negative shocks	0.5000	4.21***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0115	0.59
λ₃ tau persistence Long-term factor persistence	0.8816	78.86***

V-Lab

Bleichroeder Acquisition Corp II ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bleichroeder Acquisition Corp II Analyses