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	0.0531	1.43
β GARCH Volatility persistence	0.8941	302.67***
γ leverage Additional response to negative shocks	-0.0531	-0.64
λ₁ tau intercept Baseline long-term coefficient	0.1187	2.37**
λ₂ forecast adj. Forecast performance sensitivity	0.3526	5.17***
λ₃ tau persistence Long-term factor persistence	0.6400	3.19***

V-Lab

International Business Machines Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other International Business Machines Corp Analyses