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	101
α ARCH Response to squared shocks	0.4842	0.84
β GARCH Volatility persistence	0.7251	53.02***
γ leverage Additional response to negative shocks	-0.4286	-0.44
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0007	0.87
λ₃ tau persistence Long-term factor persistence	0.5973	13.70***

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Access Engineering Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Access Engineering Ltd Analyses