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	126
α ARCH Response to squared shocks	0.0771	7.56***
β GARCH Volatility persistence	0.9143	222.73***
γ leverage Additional response to negative shocks	-0.0771	-2.92***
λ₁ tau intercept Baseline long-term coefficient	10.0000	50.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9940	764.01***

V-Lab

Tecan Group Ag ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tecan Group Ag Analyses