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	0.1295	3.00***
β GARCH Volatility persistence	0.8741	308.44***
γ leverage Additional response to negative shocks	-0.1295	-1.90*
λ₁ tau intercept Baseline long-term coefficient	0.6724	7.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9973	434.73***

V-Lab

Kfc Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kfc Ltd Analyses