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	0.0635	12.02***
β GARCH Volatility persistence	0.8915	95.38***
γ leverage Additional response to negative shocks	-0.0635	-1.23
λ₁ tau intercept Baseline long-term coefficient	0.4840	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.2651	6.06***
λ₃ tau persistence Long-term factor persistence	0.7264	16.15***

V-Lab

HP Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other HP Inc Analyses