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	66
α ARCH Response to squared shocks	0.0534	3.96***
β GARCH Volatility persistence	0.9220	295.71***
γ leverage Additional response to negative shocks	-0.0534	-1.35
λ₁ tau intercept Baseline long-term coefficient	0.0411	25.21***
λ₂ forecast adj. Forecast performance sensitivity	0.1001	6.13***
λ₃ tau persistence Long-term factor persistence	0.8947	17.29***

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Goldman Sachs Group Inc/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Goldman Sachs Group Inc/The Analyses