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	36
α ARCH Response to squared shocks	0.0576	1.58
β GARCH Volatility persistence	0.8889	26.40***
γ leverage Additional response to negative shocks	-0.0576	-0.53
λ₁ tau intercept Baseline long-term coefficient	0.0068	6.01***
λ₂ forecast adj. Forecast performance sensitivity	0.0317	3.00***
λ₃ tau persistence Long-term factor persistence	0.9671	31.65***

V-Lab

Johnson & Johnson ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Johnson & Johnson Analyses