How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2327	1.58
β GARCH Volatility persistence	0.7797	224.25***
γ leverage Additional response to negative shocks	-0.0372	-0.13
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9984	213.33***

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Shattuck Labs Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shattuck Labs Inc Analyses