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	61
α ARCH Response to squared shocks	0.1067	0.34
β GARCH Volatility persistence	0.8519	70.19***
γ leverage Additional response to negative shocks	-0.0074	-0.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0450	0.75
λ₃ tau persistence Long-term factor persistence	0.9546	13.79***

V-Lab

Hotman Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hotman Co Ltd Analyses