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	1.64
β GARCH Volatility persistence	0.8682	37.02***
γ leverage Additional response to negative shocks	-0.0644	-0.62
λ₁ tau intercept Baseline long-term coefficient	0.0324	5.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0779	2.39**
λ₃ tau persistence Long-term factor persistence	0.9194	10.98***

V-Lab

AT&T Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AT&T Inc Analyses