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	21
α ARCH Response to squared shocks	0.0197	0.00
β GARCH Volatility persistence	0.9851	21.50***
γ leverage Additional response to negative shocks	-0.0197	-0.01
λ₁ tau intercept Baseline long-term coefficient	0.8480	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.2433	0.00
λ₃ tau persistence Long-term factor persistence	0.1285	0.01

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Ibotta Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ibotta Inc Analyses