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	21
α ARCH Response to squared shocks	0.1078	0.99
β GARCH Volatility persistence	0.7516	17.34***
γ leverage Additional response to negative shocks	0.2810	2.11**
λ₁ tau intercept Baseline long-term coefficient	0.0550	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0777	2.16**
λ₃ tau persistence Long-term factor persistence	0.9223	21.30***

V-Lab

ChoiceOne Financial Services Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ChoiceOne Financial Services Inc Analyses