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	126
α ARCH Response to squared shocks	0.0913	8.87***
β GARCH Volatility persistence	0.9044	313.92***
γ leverage Additional response to negative shocks	-0.0913	-7.14***
λ₁ tau intercept Baseline long-term coefficient	7.2007	40.68***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9957	697.27***

V-Lab

Capital Bancorp, Inc. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Capital Bancorp, Inc. Analyses