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	71
α ARCH Response to squared shocks	0.2230	5.52***
β GARCH Volatility persistence	0.8192	237.52***
γ leverage Additional response to negative shocks	-0.0944	-1.65*
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.2068	5.70***
λ₃ tau persistence Long-term factor persistence	0.0001	5.65***

V-Lab

Allied Gold Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Allied Gold Corp Analyses