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	86
α ARCH Response to squared shocks	0.0640	4.97***
β GARCH Volatility persistence	0.9187	484.06***
γ leverage Additional response to negative shocks	0.0087	0.32
λ₁ tau intercept Baseline long-term coefficient	10.0000	5.64***
λ₂ forecast adj. Forecast performance sensitivity	0.6506	16.03***
λ₃ tau persistence Long-term factor persistence	0.3494	2.00**

V-Lab

Sabre Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sabre Corp Analyses