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	76
α ARCH Response to squared shocks	0.4224
β GARCH Volatility persistence	0.0148
γ leverage Additional response to negative shocks	0.0087
λ₁ tau intercept Baseline long-term coefficient	0.0149
λ₂ forecast adj. Forecast performance sensitivity	0.4479
λ₃ tau persistence Long-term factor persistence	0.5436

V-Lab

Laundry You PCL ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Laundry You PCL Analyses