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	21
α ARCH Response to squared shocks	0.1113	0.43
β GARCH Volatility persistence	0.7943	30.05***
γ leverage Additional response to negative shocks	-0.1113	-0.20
λ₁ tau intercept Baseline long-term coefficient	7.4314	0.63
λ₂ forecast adj. Forecast performance sensitivity	0.0723	0.58
λ₃ tau persistence Long-term factor persistence	0.9251	18.33***

V-Lab

Stroeer SE ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stroeer SE Analyses