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	36
α ARCH Response to squared shocks	0.1266	0.01
β GARCH Volatility persistence	0.6624	2.89***
γ leverage Additional response to negative shocks	0.0440	0.00
λ₁ tau intercept Baseline long-term coefficient	2.4205	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.3670	0.02
λ₃ tau persistence Long-term factor persistence	0.6330	0.13

V-Lab

Attacq Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Attacq Ltd Analyses