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	21
α ARCH Response to squared shocks	0.1456	0.07
β GARCH Volatility persistence	0.7356	27.78***
γ leverage Additional response to negative shocks	0.0346	0.01
λ₁ tau intercept Baseline long-term coefficient	5.7059	0.07
λ₂ forecast adj. Forecast performance sensitivity	0.1937	0.07
λ₃ tau persistence Long-term factor persistence	0.8063	5.09***

V-Lab

Wood One Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wood One Co Ltd Analyses