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	126
α ARCH Response to squared shocks	0.0872	23.74***
β GARCH Volatility persistence	0.9213	564.50***
γ leverage Additional response to negative shocks	-0.0872	-14.93***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.24
λ₃ tau persistence Long-term factor persistence	0.9977

V-Lab

Rocky Brands Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rocky Brands Inc Analyses