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	61
α ARCH Response to squared shocks	0.0590	10.79***
β GARCH Volatility persistence	0.8940	86.11***
γ leverage Additional response to negative shocks	-0.0590	-1.63
λ₁ tau intercept Baseline long-term coefficient	0.0104	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.0513	3.84***
λ₃ tau persistence Long-term factor persistence	0.9474	69.91***

V-Lab

PepsiCo Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PepsiCo Inc Analyses