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	0.0999	10.32***
β GARCH Volatility persistence	0.8462	97.65***
γ leverage Additional response to negative shocks	-0.0999	-2.46**
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.37
λ₂ forecast adj. Forecast performance sensitivity	0.0584	5.09***
λ₃ tau persistence Long-term factor persistence	0.9396	86.38***

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oOh!media Ltd ILLIQ-MFMEM Liquidity Analysis

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