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	86
α ARCH Response to squared shocks	0.2468	0.58
β GARCH Volatility persistence	0.8151	76.15***
γ leverage Additional response to negative shocks	-0.1238	-0.16
λ₁ tau intercept Baseline long-term coefficient	0.1208	0.60
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.33
λ₃ tau persistence Long-term factor persistence	0.0000	0.56

V-Lab

Mas Plc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mas Plc Analyses