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	126
α ARCH Response to squared shocks	0.4925	0.02
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.4925	-0.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0993	0.03
λ₃ tau persistence Long-term factor persistence	0.9007	0.58

V-Lab

Sfd Sa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sfd Sa Analyses