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	0.0764	9.79***
β GARCH Volatility persistence	0.8887	167.96***
γ leverage Additional response to negative shocks	-0.0678	-2.39**
λ₁ tau intercept Baseline long-term coefficient	0.2090	65.34***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9968	503.43***

V-Lab

Paycom Software Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Paycom Software Inc Analyses