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	26
α ARCH Response to squared shocks	0.1117	0.94
β GARCH Volatility persistence	0.7485	14.44***
γ leverage Additional response to negative shocks	-0.1117	-0.41
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.0712	1.60
λ₃ tau persistence Long-term factor persistence	0.9288	26.80***

V-Lab

NSI NV ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NSI NV Analyses