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	0.2602	5.47***
β GARCH Volatility persistence	0.5705	10.58***
γ leverage Additional response to negative shocks	-0.2602	-3.87***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.04**
λ₂ forecast adj. Forecast performance sensitivity	1.0000	25.40***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Cebu Air Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cebu Air Inc Analyses