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	31
α ARCH Response to squared shocks	0.1873	0.15
β GARCH Volatility persistence	0.7277	30.27***
γ leverage Additional response to negative shocks	-0.1873	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.12
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.15
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Jayshree Tea ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jayshree Tea Analyses