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	86
α ARCH Response to squared shocks	0.1333	1.20
β GARCH Volatility persistence	0.8727	113.75***
γ leverage Additional response to negative shocks	-0.1333	-0.61
λ₁ tau intercept Baseline long-term coefficient	3.1432	1.91*
λ₂ forecast adj. Forecast performance sensitivity	0.0658	2.18**
λ₃ tau persistence Long-term factor persistence	0.9321	42.87***

V-Lab

Lifeway Foods Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lifeway Foods Inc Analyses