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	21
α ARCH Response to squared shocks	0.1814	0.25
β GARCH Volatility persistence	0.7091	41.11***
γ leverage Additional response to negative shocks	-0.1814	-0.12
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.7470	0.48
λ₃ tau persistence Long-term factor persistence	0.2530	0.17

V-Lab

Methanol Chemicals Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Methanol Chemicals Co Analyses