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	0.0081
β GARCH Volatility persistence	0.8161
γ leverage Additional response to negative shocks	0.1519
λ₁ tau intercept Baseline long-term coefficient	0.0097	276.89***
λ₂ forecast adj. Forecast performance sensitivity	0.2447
λ₃ tau persistence Long-term factor persistence	0.4973

V-Lab

Commercial Bancgroup Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Commercial Bancgroup Inc Analyses