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	61
α ARCH Response to squared shocks	0.3205	1.32
β GARCH Volatility persistence	0.6851	44.30***
γ leverage Additional response to negative shocks	-0.1130	-0.24
λ₁ tau intercept Baseline long-term coefficient	9.0452	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.4215	1.18
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

K-Auction Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other K-Auction Co Ltd Analyses