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	21
α ARCH Response to squared shocks	0.0517	1.22
β GARCH Volatility persistence	0.8689	14.84***
γ leverage Additional response to negative shocks	0.0793	2.72***
λ₁ tau intercept Baseline long-term coefficient	0.0149	1.65*
λ₂ forecast adj. Forecast performance sensitivity	0.0258	7.50***
λ₃ tau persistence Long-term factor persistence	0.9732	40.97***

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Wal-Mart Stores Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses