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	26
α ARCH Response to squared shocks	0.0994	1.02
β GARCH Volatility persistence	0.8149	29.96***
γ leverage Additional response to negative shocks	-0.0994	-0.47
λ₁ tau intercept Baseline long-term coefficient	1.1406	2.13**
λ₂ forecast adj. Forecast performance sensitivity	0.0240	1.19
λ₃ tau persistence Long-term factor persistence	0.9748	156.71***

V-Lab

Warehouses De Pauw CVA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses