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	0.2097	3.23***
β GARCH Volatility persistence	0.8236	211.77***
γ leverage Additional response to negative shocks	-0.0694	-0.61
λ₁ tau intercept Baseline long-term coefficient	0.0018	5.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9909	301.56***

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T-Flex Techvest PCB Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other T-Flex Techvest PCB Co Ltd Analyses