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	126
α ARCH Response to squared shocks	0.1377	3.65***
β GARCH Volatility persistence	0.8651	350.80***
γ leverage Additional response to negative shocks	-0.1377	-2.34**
λ₁ tau intercept Baseline long-term coefficient	3.9150	7.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9950	540.19***

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Festaria Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Festaria Holdings Co Ltd Analyses