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	0.1884	0.03
β GARCH Volatility persistence	0.7037	3.17***
γ leverage Additional response to negative shocks	0.0885	0.01
λ₁ tau intercept Baseline long-term coefficient	9.1390	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.2315	0.04
λ₃ tau persistence Long-term factor persistence	0.7685	0.40

V-Lab

Ricksoft Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ricksoft Co Ltd Analyses