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	56
α ARCH Response to squared shocks	0.1663	0.59
β GARCH Volatility persistence	0.8876	87.91***
γ leverage Additional response to negative shocks	-0.1177	-0.21
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.1074	1.91*
λ₃ tau persistence Long-term factor persistence	0.7475	2.56**

V-Lab

Canbridge Pharmaceuticals IN ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Canbridge Pharmaceuticals IN Analyses