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	61
α ARCH Response to squared shocks	0.0805	5.33***
β GARCH Volatility persistence	0.8762	435.72***
γ leverage Additional response to negative shocks	-0.0805	-2.20**
λ₁ tau intercept Baseline long-term coefficient	0.3914	2.21**
λ₂ forecast adj. Forecast performance sensitivity	0.8846	6.76***
λ₃ tau persistence Long-term factor persistence	0.0928	2.01**

V-Lab

Vistra Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vistra Corp Analyses