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	31
α ARCH Response to squared shocks	0.1069	9.13***
β GARCH Volatility persistence	0.8884	71.83***
γ leverage Additional response to negative shocks	-0.1069	-8.46***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.38**
λ₂ forecast adj. Forecast performance sensitivity	0.0261	1.29
λ₃ tau persistence Long-term factor persistence	0.9542	44.02***

V-Lab

Funko, Inc. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Funko, Inc. Analyses