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	66
α ARCH Response to squared shocks	0.0530	1.06
β GARCH Volatility persistence	0.9213	308.55***
γ leverage Additional response to negative shocks	-0.0530	-0.63
λ₁ tau intercept Baseline long-term coefficient	9.5073	1.14
λ₂ forecast adj. Forecast performance sensitivity	0.5384	2.28**
λ₃ tau persistence Long-term factor persistence	0.3825	1.55

V-Lab

Smo Clinplus Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Smo Clinplus Co Ltd Analyses