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	0.0558	1.62
β GARCH Volatility persistence	0.9492	128.72***
γ leverage Additional response to negative shocks	-0.0558	-1.33
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.04
λ₂ forecast adj. Forecast performance sensitivity	0.5157	1.94*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Allcargo Terminals Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Allcargo Terminals Ltd Analyses