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	126
α ARCH Response to squared shocks	0.1461	2.87***
β GARCH Volatility persistence	0.8626	182.33***
γ leverage Additional response to negative shocks	-0.0198	-0.19
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9990	2,038.74***

V-Lab

Orient Europharma Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orient Europharma Co Ltd Analyses