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	0.0694	14.50***
β GARCH Volatility persistence	0.8556	71.59***
γ leverage Additional response to negative shocks	-0.0267	-6.55***
λ₁ tau intercept Baseline long-term coefficient	3,863.6160

V-Lab

Cel Corporation ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cel Corporation Analyses