How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0505	14.64***
β GARCH Volatility persistence	0.9455	248.68***
γ leverage Additional response to negative shocks	-0.0505	-4.16***
λ₁ tau intercept Baseline long-term coefficient	0.0019	3.16***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9991	253.97***

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Caterpillar Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caterpillar Inc Analyses