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	0.1783	0.19
β GARCH Volatility persistence	0.5707	17.62***
γ leverage Additional response to negative shocks	0.5000	0.25
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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International Co FOR INV & DEV ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other International Co FOR INV & DEV Analyses