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	121
α ARCH Response to squared shocks	0.0517	18.28***
β GARCH Volatility persistence	0.9380	409.96***
γ leverage Additional response to negative shocks	-0.0439	-2.89***
λ₁ tau intercept Baseline long-term coefficient	0.0087	54.18***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.06
λ₃ tau persistence Long-term factor persistence	0.9993	5,124.42***

V-Lab

Bank of New York Mellon Corp/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bank of New York Mellon Corp/The Analyses