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	71
α ARCH Response to squared shocks	0.0819	4.80***
β GARCH Volatility persistence	0.9043	383.66***
γ leverage Additional response to negative shocks	-0.0649	-1.68*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.4376	25.67***
λ₃ tau persistence Long-term factor persistence	0.5514	4.49***

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NVIDIA Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NVIDIA Corp Analyses