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	126
α ARCH Response to squared shocks	0.8987	0.52
β GARCH Volatility persistence	0.3505	1.34
γ leverage Additional response to negative shocks	-0.5000	-0.17
λ₁ tau intercept Baseline long-term coefficient	2.8062	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.06
λ₃ tau persistence Long-term factor persistence	0.9999	15.75***

V-Lab

Aarvi Encon Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aarvi Encon Ltd Analyses