How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2419	18.16***
β GARCH Volatility persistence	0.7131	58.87***
γ leverage Additional response to negative shocks	-0.0657	-6.48***
λ₁ tau intercept Baseline long-term coefficient	2,792.7089

V-Lab

Basilic FLY Studio Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Basilic FLY Studio Limited Analyses