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	36
α ARCH Response to squared shocks	0.2494	1.39
β GARCH Volatility persistence	0.7330	24.05***
γ leverage Additional response to negative shocks	-0.2494	-0.69
λ₁ tau intercept Baseline long-term coefficient	0.1338	1.67*
λ₂ forecast adj. Forecast performance sensitivity	0.0309	2.03**
λ₃ tau persistence Long-term factor persistence	0.9685	100.99***

V-Lab

BOE Varitronix Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BOE Varitronix Ltd Analyses