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	126
α ARCH Response to squared shocks	0.0438	22.20***
β GARCH Volatility persistence	0.9486	737.66***
γ leverage Additional response to negative shocks	-0.0438	-6.09***
λ₁ tau intercept Baseline long-term coefficient	0.0011	15.96***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9994	1,521.22***

V-Lab

Merck & Co Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Merck & Co Inc Analyses