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	116
α ARCH Response to squared shocks	0.2868	1.31
β GARCH Volatility persistence	0.7708	110.62***
γ leverage Additional response to negative shocks	-0.2868	-0.82
λ₁ tau intercept Baseline long-term coefficient	0.0003	1.46
λ₂ forecast adj. Forecast performance sensitivity	0.0002	1.67*
λ₃ tau persistence Long-term factor persistence	0.8647	62.11***

V-Lab

XChange TEC Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other XChange TEC Inc Analyses