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	121
α ARCH Response to squared shocks	0.1265	0.11
β GARCH Volatility persistence	0.9173	347.84***
γ leverage Additional response to negative shocks	-0.0876	-0.04
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.0476	0.13
λ₃ tau persistence Long-term factor persistence	0.9283	12.09***

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TSS Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TSS Inc Analyses