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	36
α ARCH Response to squared shocks	0.2238	6.63***
β GARCH Volatility persistence	0.7240	29.68***
γ leverage Additional response to negative shocks	0.0407	1.33
λ₁ tau intercept Baseline long-term coefficient	3.5152	1.65*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9993	605.26***

V-Lab

Carlsberg Brewery Malaysia ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carlsberg Brewery Malaysia Analyses