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	36
α ARCH Response to squared shocks	0.1552	1.08
β GARCH Volatility persistence	0.7936	91.55***
γ leverage Additional response to negative shocks	-0.1552	-0.51
λ₁ tau intercept Baseline long-term coefficient	1.7204	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.3335	4.41***
λ₃ tau persistence Long-term factor persistence	0.6665	2.89***

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Apex Biotechnology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Apex Biotechnology Co Ltd Analyses