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	46
α ARCH Response to squared shocks	0.1046	0.95
β GARCH Volatility persistence	0.7854	53.62***
γ leverage Additional response to negative shocks	-0.1046	-0.44
λ₁ tau intercept Baseline long-term coefficient	6.1971	0.92
λ₂ forecast adj. Forecast performance sensitivity	0.9539	1.04
λ₃ tau persistence Long-term factor persistence	0.0448	0.44

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