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	121
α ARCH Response to squared shocks	0.2727	6.24***
β GARCH Volatility persistence	0.8280	181.39***
γ leverage Additional response to negative shocks	-0.2727	-3.54***
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9925	2,380.04***

V-Lab

Value Convergence Holdings Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Value Convergence Holdings Ltd Analyses