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	91
α ARCH Response to squared shocks	0.4409	0.28
β GARCH Volatility persistence	0.7522	43.48***
γ leverage Additional response to negative shocks	-0.3863	-0.12
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0001	0.32
λ₃ tau persistence Long-term factor persistence	0.3807	2.62***

V-Lab

Ashika Global Securities Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ashika Global Securities Ltd Analyses