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	81
α ARCH Response to squared shocks	0.0717	9.39***
β GARCH Volatility persistence	0.9236	287.02***
γ leverage Additional response to negative shocks	-0.0161	-0.80
λ₁ tau intercept Baseline long-term coefficient	0.0771	58.83***
λ₂ forecast adj. Forecast performance sensitivity	0.0035	1.95*
λ₃ tau persistence Long-term factor persistence	0.9946	431.89***

V-Lab

SBA Communications Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SBA Communications Corp Analyses