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	126
α ARCH Response to squared shocks	0.1568	5.99***
β GARCH Volatility persistence	0.8265	156.44***
γ leverage Additional response to negative shocks	-0.1412	-2.95***
λ₁ tau intercept Baseline long-term coefficient	9.8322	0.51
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9988	820.06***

V-Lab

Bailador Technology Investments Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bailador Technology Investments Limited Analyses