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	0.0644	10.51***
β GARCH Volatility persistence	0.8679	62.46***
γ leverage Additional response to negative shocks	-0.0644	-1.62
λ₁ tau intercept Baseline long-term coefficient	0.0343	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.0786	3.37***
λ₃ tau persistence Long-term factor persistence	0.9186	38.46***

V-Lab

AT&T Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AT&T Inc Analyses