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	46
α ARCH Response to squared shocks	0.0404	7.99***
β GARCH Volatility persistence	0.9186	85.93***
γ leverage Additional response to negative shocks	0.0032	0.26
λ₁ tau intercept Baseline long-term coefficient	0.0267	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.3124	12.75***
λ₃ tau persistence Long-term factor persistence	0.6832	25.99***

V-Lab

Alphabet Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alphabet Inc Analyses