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	121
α ARCH Response to squared shocks	0.1718	11.84***
β GARCH Volatility persistence	0.8439	74.16***
γ leverage Additional response to negative shocks	-0.1718	-3.77***
λ₁ tau intercept Baseline long-term coefficient	0.7119	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0436	2.59***
λ₃ tau persistence Long-term factor persistence	0.1231	5.06***

V-Lab

SeSa S.p.A. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SeSa S.p.A. Analyses