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	126
α ARCH Response to squared shocks	0.0536	30.58***
β GARCH Volatility persistence	0.9364	711.02***
γ leverage Additional response to negative shocks	-0.0536	-8.67***
λ₁ tau intercept Baseline long-term coefficient	0.0015	46.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.9993	3,287.25***

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Home Depot Inc/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Home Depot Inc/The Analyses