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	126
α ARCH Response to squared shocks	0.1465	3.88***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.1465	-1.29
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9969	0.46

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Iware Supplychain Services ILLIQ-MFMEM Liquidity Analysis

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