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	46
α ARCH Response to squared shocks	0.0826	5.35***
β GARCH Volatility persistence	0.8586	248.71***
γ leverage Additional response to negative shocks	0.0228	0.58
λ₁ tau intercept Baseline long-term coefficient	1.1396	2.09**
λ₂ forecast adj. Forecast performance sensitivity	0.5805	5.38***
λ₃ tau persistence Long-term factor persistence	0.4053	12.52***

V-Lab

Vistra Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vistra Corp Analyses