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	56
α ARCH Response to squared shocks	0.0764	0.99
β GARCH Volatility persistence	0.8735	155.32***
γ leverage Additional response to negative shocks	-0.0764	-0.46
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.9471	1.08
λ₃ tau persistence Long-term factor persistence	0.0529	0.41

V-Lab

Neto Malinda ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neto Malinda Analyses