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	26
α ARCH Response to squared shocks	0.2176	1.26
β GARCH Volatility persistence	0.7882	321.20***
γ leverage Additional response to negative shocks	-0.2176	-0.59
λ₁ tau intercept Baseline long-term coefficient	1.8582	2.40**
λ₂ forecast adj. Forecast performance sensitivity	0.0823	3.40***
λ₃ tau persistence Long-term factor persistence	0.8950	17.41***

V-Lab

Arab Sea Information System ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arab Sea Information System Analyses