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	71
α ARCH Response to squared shocks	0.2217	24.66***
β GARCH Volatility persistence	0.8045	111.35***
γ leverage Additional response to negative shocks	-0.2217	-20.05***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.13**
λ₂ forecast adj. Forecast performance sensitivity	0.1321	2.49**
λ₃ tau persistence Long-term factor persistence	0.0000	3.33***

V-Lab

Hyperscale Data Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hyperscale Data Inc Analyses