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	21
α ARCH Response to squared shocks	0.0528	0.01
β GARCH Volatility persistence	0.9144	12.31***
γ leverage Additional response to negative shocks	-0.0528	0.00
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0048	0.01
λ₃ tau persistence Long-term factor persistence	0.9932	18.16***

V-Lab

Great Eagle Holdings Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Great Eagle Holdings Ltd Analyses