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	0.0874	1.19
β GARCH Volatility persistence	0.8325	16.82***
γ leverage Additional response to negative shocks	-0.0874	-0.45
λ₁ tau intercept Baseline long-term coefficient	0.0683	3.42***
λ₂ forecast adj. Forecast performance sensitivity	0.1002	2.60***
λ₃ tau persistence Long-term factor persistence	0.8981	7.58***

V-Lab

Boston Scientific Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Boston Scientific Corp Analyses