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	46
α ARCH Response to squared shocks	0.1067	1.73*
β GARCH Volatility persistence	0.8402	91.09***
γ leverage Additional response to negative shocks	-0.1067	-0.91
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.20**
λ₂ forecast adj. Forecast performance sensitivity	0.9174	2.24**
λ₃ tau persistence Long-term factor persistence	0.0445	0.59

V-Lab

Sirio Pharma Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sirio Pharma Co Ltd Analyses