How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.3101	26.56***
β GARCH Volatility persistence	0.7838	180.97***
γ leverage Additional response to negative shocks	-0.1934	-11.53***
λ₁ tau intercept Baseline long-term coefficient	10,695,799.4021

V-Lab

Litu Holdings Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Litu Holdings Ltd Analyses