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	56
α ARCH Response to squared shocks	0.0571	3.60***
β GARCH Volatility persistence	0.9138	75.03***
γ leverage Additional response to negative shocks	-0.0552	-0.95
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0116	2.30**
λ₃ tau persistence Long-term factor persistence	0.9879	114.41***

V-Lab

MasterCard Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MasterCard Inc Analyses