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	46
α ARCH Response to squared shocks	0.1455	0.64
β GARCH Volatility persistence	0.7649	19.22***
γ leverage Additional response to negative shocks	0.1535	0.40
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.93*
λ₂ forecast adj. Forecast performance sensitivity	0.3108	2.03**
λ₃ tau persistence Long-term factor persistence	0.6892	1.11

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Nagaileben Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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