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	26
α ARCH Response to squared shocks	0.2501	0.40
β GARCH Volatility persistence	0.8035	59.95***
γ leverage Additional response to negative shocks	-0.1071	-0.09
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.8437	0.39
λ₃ tau persistence Long-term factor persistence	0.0034	0.23

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Shatirah House Restaurant Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shatirah House Restaurant Co Analyses