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	0.2152	39.08***
β GARCH Volatility persistence	0.7842	187.56***
γ leverage Additional response to negative shocks	-0.0382	-6.98***
λ₁ tau intercept Baseline long-term coefficient	6,668.9720

V-Lab

Crg Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crg Holdings Co Ltd Analyses