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	21
α ARCH Response to squared shocks	0.1210	0.63
β GARCH Volatility persistence	0.7489	44.35***
γ leverage Additional response to negative shocks	-0.1210	-0.30
λ₁ tau intercept Baseline long-term coefficient	7.9252	1.28
λ₂ forecast adj. Forecast performance sensitivity	0.0441	0.63
λ₃ tau persistence Long-term factor persistence	0.9553	178.50***

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Village Super Market Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Village Super Market Inc Analyses