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	0.0882	9.01***
β GARCH Volatility persistence	0.9093	275.96***
γ leverage Additional response to negative shocks	-0.0882	-5.86***
λ₁ tau intercept Baseline long-term coefficient	0.1079	7.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0072	4.95***
λ₃ tau persistence Long-term factor persistence	0.9916	1,303.00***

V-Lab

Everforth Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Everforth Inc Analyses