Stata Code for Liquidity Adjusted (LCAPM) with Application of MGARCH
We have developed a flexible Stata code that performs all of the above steps, with the application of MGARCH. The code can be modified for different methodologies, such as conditional and unconditional LCAPM, time series and crosssectional regressions, and forming portfolios from the intersection of size, booktomarket, and illiquidity factors.

Disclaimer: Content of the website has been developed solely by the owner independent of StataCorp LP. Use of the Stata trademark on these pages
is with the expressed written permission of StataCorp LP without any business relationship or affiliation.