How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0776	7.24***
β GARCH Volatility persistence	0.8833	145.81***
γ leverage Additional response to negative shocks	0.0342	2.28**
λ₁ tau intercept Baseline long-term coefficient	10.0000	7.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9988	633.35***

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PubMatic Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PubMatic Inc Analyses