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	31
α ARCH Response to squared shocks	0.0840	2.84***
β GARCH Volatility persistence	0.8834	66.68***
γ leverage Additional response to negative shocks	-0.0840	-0.81
λ₁ tau intercept Baseline long-term coefficient	0.0020	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0519	2.29**
λ₃ tau persistence Long-term factor persistence	0.9464	21.94***

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Monolithic Power Systems Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Monolithic Power Systems Inc Analyses