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	0.0591	2.05**
β GARCH Volatility persistence	0.8941	63.42***
γ leverage Additional response to negative shocks	-0.0591	-0.74
λ₁ tau intercept Baseline long-term coefficient	0.0096	6.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0507	3.53***
λ₃ tau persistence Long-term factor persistence	0.9480	23.15***

V-Lab

PepsiCo Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PepsiCo Inc Analyses