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	0.1084	3.02***
β GARCH Volatility persistence	0.8654	73.87***
γ leverage Additional response to negative shocks	-0.1084	-1.32
λ₁ tau intercept Baseline long-term coefficient	2.8757	9.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0362	6.76***
λ₃ tau persistence Long-term factor persistence	0.9620	73.07***

V-Lab

Methode Electronics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Methode Electronics Inc Analyses