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	101
α ARCH Response to squared shocks	0.0077	95.27***
β GARCH Volatility persistence	0.9911	1,370.87***
γ leverage Additional response to negative shocks	-0.0077	-72.80***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0000	36.00***
λ₃ tau persistence Long-term factor persistence	0.0659	354.13***

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BOYD GROUP SERVICES INC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses