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	0.1399	12.38***
β GARCH Volatility persistence	0.8800	333.34***
γ leverage Additional response to negative shocks	-0.1399	-5.06***
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.2726	14.64***
λ₃ tau persistence Long-term factor persistence	0.0000	5.00***

V-Lab

BTB Korea Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BTB Korea Co Ltd Analyses