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	0.2818	8.39***
β GARCH Volatility persistence	0.8204	60.35***
γ leverage Additional response to negative shocks	-0.2050	-4.59***
λ₁ tau intercept Baseline long-term coefficient	2,916,687.0000

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Banco Nacional DE Credito CA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Banco Nacional DE Credito CA Analyses