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	71
α ARCH Response to squared shocks	0.2064	2.01**
β GARCH Volatility persistence	0.6396	77.48***
γ leverage Additional response to negative shocks	-0.2064	-0.94
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.2862	4.86***
λ₃ tau persistence Long-term factor persistence	0.6422	5.68***

V-Lab

Chicago Atlantic BDC Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chicago Atlantic BDC Inc Analyses