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	0.2423	0.63
β GARCH Volatility persistence	0.7731	135.84***
γ leverage Additional response to negative shocks	-0.2423	-0.35
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.23
λ₂ forecast adj. Forecast performance sensitivity	0.0152	1.26
λ₃ tau persistence Long-term factor persistence	0.9264	11.31***

V-Lab

AVG Logistics Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AVG Logistics Ltd Analyses