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	0.1911	0.31
β GARCH Volatility persistence	0.6307	18.87***
γ leverage Additional response to negative shocks	-0.1911	-0.15
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.1292	0.51
λ₃ tau persistence Long-term factor persistence	0.8708	4.70***

V-Lab

Grp Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grp Ltd Analyses