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	0.0541	2.50**
β GARCH Volatility persistence	0.8948	337.54***
γ leverage Additional response to negative shocks	-0.0541	-0.97
λ₁ tau intercept Baseline long-term coefficient	0.0054	3.68***
λ₂ forecast adj. Forecast performance sensitivity	0.2370	18.54***
λ₃ tau persistence Long-term factor persistence	0.7584	5.84***

V-Lab

Microsoft Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Microsoft Corp Analyses