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	0.6079	0.18
β GARCH Volatility persistence	0.6371	12.43***
γ leverage Additional response to negative shocks	-0.5000	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0980	0.19
λ₃ tau persistence Long-term factor persistence	0.9020	35.09***

V-Lab

MCR SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MCR SA Analyses