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	36
α ARCH Response to squared shocks	0.1232	1.12
β GARCH Volatility persistence	0.8144	32.50***
γ leverage Additional response to negative shocks	-0.1232	-0.50
λ₁ tau intercept Baseline long-term coefficient	5.5293	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.0719	3.17***
λ₃ tau persistence Long-term factor persistence	0.9281	23.70***

V-Lab

Sierra Bancorp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sierra Bancorp Analyses