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	26
α ARCH Response to squared shocks	0.3716	1.05
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.4277	0.68
λ₁ tau intercept Baseline long-term coefficient	8.5595	1.09
λ₂ forecast adj. Forecast performance sensitivity	0.7152	1.08
λ₃ tau persistence Long-term factor persistence	0.2848	0.49

V-Lab

Epiroc Ab ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses