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	0.2242	2.74***
β GARCH Volatility persistence	0.7235	70.74***
γ leverage Additional response to negative shocks	0.0407	0.28
λ₁ tau intercept Baseline long-term coefficient	3.5597	14.86***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9993	805.23***

V-Lab

Carlsberg Brewery Malaysia ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carlsberg Brewery Malaysia Analyses