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	96
α ARCH Response to squared shocks	0.1537	8.20***
β GARCH Volatility persistence	0.8488	366.65***
γ leverage Additional response to negative shocks	-0.0690	-2.13**
λ₁ tau intercept Baseline long-term coefficient	0.1314	9.95***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9991	2,153.25***

V-Lab

Danto Hldgs Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Danto Hldgs Corp Analyses