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	0.2889	0.82
β GARCH Volatility persistence	0.7145	35.54***
γ leverage Additional response to negative shocks	-0.2889	-0.40
λ₁ tau intercept Baseline long-term coefficient	1.3293	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0140	0.95
λ₃ tau persistence Long-term factor persistence	0.9845	194.83***

V-Lab

Jetbest Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jetbest Corp Analyses