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	76
α ARCH Response to squared shocks	0.1042	1.15
β GARCH Volatility persistence	0.8305	33.74***
γ leverage Additional response to negative shocks	-0.1042	-0.51
λ₁ tau intercept Baseline long-term coefficient	0.2592	1.36
λ₂ forecast adj. Forecast performance sensitivity	0.0861	8.91***
λ₃ tau persistence Long-term factor persistence	0.9132	11.07***

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James Hardie Industries PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other James Hardie Industries PLC Analyses