How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.4363	73.72***
β GARCH Volatility persistence	0.6181	155.73***
γ leverage Additional response to negative shocks	-0.1273	-17.12***
λ₁ tau intercept Baseline long-term coefficient	105.3564

V-Lab

GFI Co Ltd/Korea ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GFI Co Ltd/Korea Analyses