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	0.1698	0.51
β GARCH Volatility persistence	0.7696	44.98***
γ leverage Additional response to negative shocks	-0.1698	-0.25
λ₁ tau intercept Baseline long-term coefficient	7.5935	0.72
λ₂ forecast adj. Forecast performance sensitivity	0.0484	0.58
λ₃ tau persistence Long-term factor persistence	0.9516	87.22***

V-Lab

LB Foster Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other LB Foster Co Analyses