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	0.0636	2.38**
β GARCH Volatility persistence	0.8914	352.35***
γ leverage Additional response to negative shocks	-0.0636	-1.00
λ₁ tau intercept Baseline long-term coefficient	0.4840	13.76***
λ₂ forecast adj. Forecast performance sensitivity	0.2640	6.39***
λ₃ tau persistence Long-term factor persistence	0.7275	4.35***

V-Lab

HP Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other HP Inc Analyses