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	106
α ARCH Response to squared shocks	0.3314	0.41
β GARCH Volatility persistence	0.8271	120.54***
γ leverage Additional response to negative shocks	-0.3314	-0.31
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0016	0.47
λ₃ tau persistence Long-term factor persistence	0.8507	11.21***

V-Lab

Grimoldi SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grimoldi SA Analyses