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	61
α ARCH Response to squared shocks	0.0881	8.96***
β GARCH Volatility persistence	0.9092	274.77***
γ leverage Additional response to negative shocks	-0.0881	-5.82***
λ₁ tau intercept Baseline long-term coefficient	0.1075	7.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0073	4.95***
λ₃ tau persistence Long-term factor persistence	0.9915	1,297.81***

V-Lab

Everforth Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Everforth Inc Analyses