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	26
α ARCH Response to squared shocks	0.1473	1.11
β GARCH Volatility persistence	0.7610	92.90***
γ leverage Additional response to negative shocks	0.1833	0.72
λ₁ tau intercept Baseline long-term coefficient	1.3185	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1197	2.04**
λ₃ tau persistence Long-term factor persistence	0.8803	14.23***

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Mivtach Shamir Hds ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mivtach Shamir Hds Analyses