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	21
α ARCH Response to squared shocks	0.0680	0.17
β GARCH Volatility persistence	0.8060	23.60***
γ leverage Additional response to negative shocks	-0.0680	-0.09
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.0395	0.22
λ₃ tau persistence Long-term factor persistence	0.9572	19.61***

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Riskified Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Riskified Ltd Analyses