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	61
α ARCH Response to squared shocks	0.0543	11.67***
β GARCH Volatility persistence	0.8946	95.58***
γ leverage Additional response to negative shocks	-0.0543	-1.35
λ₁ tau intercept Baseline long-term coefficient	0.0048	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.2347	5.76***
λ₃ tau persistence Long-term factor persistence	0.7608	18.38***

V-Lab

Microsoft Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Microsoft Corp Analyses