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	21
α ARCH Response to squared shocks	0.1398	0.24
β GARCH Volatility persistence	0.7984	6.86***
γ leverage Additional response to negative shocks	0.0729	0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.1651	2.15**
λ₃ tau persistence Long-term factor persistence	0.8349	1.36

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

Date Range:

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