How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1705	17.76***
β GARCH Volatility persistence	0.7950	86.66***
γ leverage Additional response to negative shocks	-0.0341	-4.79***
λ₁ tau intercept Baseline long-term coefficient	1,714.0590

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Operadora De Sites Mexicanos ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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