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	66
α ARCH Response to squared shocks	0.0657	3.23***
β GARCH Volatility persistence	0.9217	64.36***
γ leverage Additional response to negative shocks	-0.0657	-3.99***
λ₁ tau intercept Baseline long-term coefficient	10.0000	7.37***
λ₂ forecast adj. Forecast performance sensitivity	0.0183	8.93***
λ₃ tau persistence Long-term factor persistence	0.9690	74.85***

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N-able Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other N-able Inc Analyses