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	0.0533	10.32***
β GARCH Volatility persistence	0.8826	69.58***
γ leverage Additional response to negative shocks	-0.0533	-2.09**
λ₁ tau intercept Baseline long-term coefficient	0.0140	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.0506	3.89***
λ₃ tau persistence Long-term factor persistence	0.9477	72.37***

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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