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	86
α ARCH Response to squared shocks	0.1490	0.03
β GARCH Volatility persistence	0.8692	132.55***
γ leverage Additional response to negative shocks	-0.1490	-0.02
λ₁ tau intercept Baseline long-term coefficient	7.8938	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7486	0.58

V-Lab

Cedar Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cedar Co Ltd Analyses