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	0.0652	0.57
β GARCH Volatility persistence	0.9361	74.14***
γ leverage Additional response to negative shocks	-0.0652	-0.28
λ₁ tau intercept Baseline long-term coefficient	5.3580	2.74***
λ₂ forecast adj. Forecast performance sensitivity	0.4662	4.45***
λ₃ tau persistence Long-term factor persistence	0.4613	0.50

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Cerence Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cerence Inc Analyses