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	0.0711	2.04**
β GARCH Volatility persistence	0.9047	434.51***
γ leverage Additional response to negative shocks	-0.0711	-0.85
λ₁ tau intercept Baseline long-term coefficient	0.0074	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.1274	5.22***
λ₃ tau persistence Long-term factor persistence	0.8715	9.52***

V-Lab

Howmet Aerospace Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Howmet Aerospace Inc Analyses