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	61
α ARCH Response to squared shocks	0.1995	0.40
β GARCH Volatility persistence	0.8774	41.71***
γ leverage Additional response to negative shocks	-0.1538	-0.16
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.0115	0.55
λ₃ tau persistence Long-term factor persistence	0.9885	279.07***

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3-2 INVESTMENT AND CONSTRUCTION JSC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3-2 INVESTMENT AND CONSTRUCTION JSC Analyses