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	31
α ARCH Response to squared shocks	0.1347	2.67***
β GARCH Volatility persistence	0.5677	49.97***
γ leverage Additional response to negative shocks	-0.1347	-1.87*
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.96
λ₂ forecast adj. Forecast performance sensitivity	0.8592	2.77***
λ₃ tau persistence Long-term factor persistence	0.0007	0.93

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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