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	116
α ARCH Response to squared shocks	0.0919	8.19***
β GARCH Volatility persistence	0.8522	94.84***
γ leverage Additional response to negative shocks	-0.0919	-2.40**
λ₁ tau intercept Baseline long-term coefficient	10.0000	10.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9953	520.85***

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Momentum Group Ab Publ ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Momentum Group Ab Publ Analyses