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	46
α ARCH Response to squared shocks	0.0531	1.25
β GARCH Volatility persistence	0.8822	23.56***
γ leverage Additional response to negative shocks	-0.0531	-0.45
λ₁ tau intercept Baseline long-term coefficient	0.0149	5.11***
λ₂ forecast adj. Forecast performance sensitivity	0.0519	2.15**
λ₃ tau persistence Long-term factor persistence	0.9464	13.93***

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Procter & Gamble Co/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Procter & Gamble Co/The Analyses