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	21
α ARCH Response to squared shocks	0.0320	1.30
β GARCH Volatility persistence	0.9840	68.90***
γ leverage Additional response to negative shocks	-0.0320	-2.70***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.1950	1.14
λ₃ tau persistence Long-term factor persistence	0.8050	52.16***

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Our Bond Inc ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

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