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	81
α ARCH Response to squared shocks	0.6246
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.0001	64.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0705
λ₃ tau persistence Long-term factor persistence	0.0004

V-Lab

Vigonvita Life Sciences Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vigonvita Life Sciences Co Ltd Analyses