How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0356	3.05***
β GARCH Volatility persistence	0.8991	27.10***
γ leverage Additional response to negative shocks	0.1080	1.25
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.4590	2.99***
λ₃ tau persistence Long-term factor persistence	0.5153	1.22

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