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	0.3157	26.56***
β GARCH Volatility persistence	0.7812	177.63***
γ leverage Additional response to negative shocks	-0.1994	-11.65***
λ₁ tau intercept Baseline long-term coefficient	10,721,000.0000

V-Lab

Litu Holdings Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Litu Holdings Ltd Analyses