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	21
α ARCH Response to squared shocks	0.1385	0.28
β GARCH Volatility persistence	0.7239	6.61***
γ leverage Additional response to negative shocks	-0.1385	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.72
λ₂ forecast adj. Forecast performance sensitivity	0.1770	0.98
λ₃ tau persistence Long-term factor persistence	0.8230	1.88*

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Ardmore Shipping Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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