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	0.0838	13.30***
β GARCH Volatility persistence	0.8836	91.25***
γ leverage Additional response to negative shocks	-0.0838	-1.62
λ₁ tau intercept Baseline long-term coefficient	0.0044	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0516	3.10***
λ₃ tau persistence Long-term factor persistence	0.9467	56.59***

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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