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	0.3351
β GARCH Volatility persistence	0.2847
γ leverage Additional response to negative shocks	-0.0485
λ₁ tau intercept Baseline long-term coefficient	0.4550
λ₂ forecast adj. Forecast performance sensitivity	0.0009
λ₃ tau persistence Long-term factor persistence	0.2075

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Our Bond Inc ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Our Bond Inc Analyses