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	0.0453	1.13
β GARCH Volatility persistence	0.8970	15.79***
γ leverage Additional response to negative shocks	-0.0453	-0.37
λ₁ tau intercept Baseline long-term coefficient	0.0071	2.11**
λ₂ forecast adj. Forecast performance sensitivity	0.0269	2.95***
λ₃ tau persistence Long-term factor persistence	0.9720	30.53***

V-Lab

ExxonMobil Holdings Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ExxonMobil Holdings Corp Analyses