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	56
α ARCH Response to squared shocks	0.0704	2.18**
β GARCH Volatility persistence	0.8868	73.82***
γ leverage Additional response to negative shocks	0.0570	1.12
λ₁ tau intercept Baseline long-term coefficient	3.5366	4.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0613	2.09**
λ₃ tau persistence Long-term factor persistence	0.9386	15.57***

V-Lab

SES SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SES SA Analyses