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	0.5040	52.06***
β GARCH Volatility persistence	0.1856	13.53***
γ leverage Additional response to negative shocks	-0.5000	-40.47***
λ₁ tau intercept Baseline long-term coefficient	2,568.7500

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United Carton Industries Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other United Carton Industries Co Analyses