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	111
α ARCH Response to squared shocks	0.3173	7.11***
β GARCH Volatility persistence	0.6735	151.32***
γ leverage Additional response to negative shocks	-0.3173	-4.86***
λ₁ tau intercept Baseline long-term coefficient	5.3300	36.83***
λ₂ forecast adj. Forecast performance sensitivity	0.0053	22.37***
λ₃ tau persistence Long-term factor persistence	0.9724	298.47***

V-Lab

Laekna Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Laekna Inc Analyses