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	21
α ARCH Response to squared shocks	0.0535	1.98**
β GARCH Volatility persistence	0.8944	34.28***
γ leverage Additional response to negative shocks	-0.0535	-0.65
λ₁ tau intercept Baseline long-term coefficient	0.0058	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0178	5.89***
λ₃ tau persistence Long-term factor persistence	0.9814	117.46***

V-Lab

McDonald's Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other McDonald's Corp Analyses