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	61
α ARCH Response to squared shocks	0.0585	1.44
β GARCH Volatility persistence	0.8924	36.96***
γ leverage Additional response to negative shocks	-0.0585	-0.55
λ₁ tau intercept Baseline long-term coefficient	0.0260	4.31***
λ₂ forecast adj. Forecast performance sensitivity	0.0652	1.92*
λ₃ tau persistence Long-term factor persistence	0.9328	11.68***

V-Lab

RTX Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other RTX Corp Analyses