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	0.0808	6.94***
β GARCH Volatility persistence	0.9076	491.38***
γ leverage Additional response to negative shocks	-0.0435	-1.43
λ₁ tau intercept Baseline long-term coefficient	0.0535	46.86***
λ₂ forecast adj. Forecast performance sensitivity	0.0172	8.25***
λ₃ tau persistence Long-term factor persistence	0.9803	193.43***

V-Lab

Crown Castle Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crown Castle Inc Analyses