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	121
α ARCH Response to squared shocks	0.0681	1.38
β GARCH Volatility persistence	0.9488	74.64***
γ leverage Additional response to negative shocks	-0.0475	-0.47
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.87
λ₃ tau persistence Long-term factor persistence	0.1641	10.74***

V-Lab

Manabi AID Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Manabi AID Co Ltd Analyses