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	41
α ARCH Response to squared shocks	0.0824	1.34
β GARCH Volatility persistence	0.8528	46.47***
γ leverage Additional response to negative shocks	-0.0824	-0.59
λ₁ tau intercept Baseline long-term coefficient	0.0385	2.42**
λ₂ forecast adj. Forecast performance sensitivity	0.1783	8.79***
λ₃ tau persistence Long-term factor persistence	0.8192	5.44***

V-Lab

Electronic Arts Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Electronic Arts Inc Analyses