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	41
α ARCH Response to squared shocks	0.1473	0.06
β GARCH Volatility persistence	0.8486	8.84***
γ leverage Additional response to negative shocks	-0.1473	-0.03
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0683	0.08
λ₃ tau persistence Long-term factor persistence	0.9317	3.87***

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Biafo Industries Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Biafo Industries Ltd Analyses