How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2477	0.02
β GARCH Volatility persistence	0.5487	4.04***
γ leverage Additional response to negative shocks	-0.2477	-0.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.1530	0.02
λ₃ tau persistence Long-term factor persistence	0.8470	1.28

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Itafos Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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