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	116
α ARCH Response to squared shocks	0.1537	12.04***
β GARCH Volatility persistence	0.8534	392.56***
γ leverage Additional response to negative shocks	-0.0494	-2.09**
λ₁ tau intercept Baseline long-term coefficient	0.1245	30.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9987	1,713.07***

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Juventus Football Club S.p.A. ILLIQ-MFMEM Liquidity Analysis

Date Range:

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