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	0.0909	0.40
β GARCH Volatility persistence	0.9355	308.66***
γ leverage Additional response to negative shocks	-0.0909	-0.22
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0916	0.48
λ₃ tau persistence Long-term factor persistence	0.8963	20.65***

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Mo-Bruk Sa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mo-Bruk Sa Analyses