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	126
α ARCH Response to squared shocks	0.1528	6.21***
β GARCH Volatility persistence	0.8650	199.32***
γ leverage Additional response to negative shocks	-0.1528	-2.41**
λ₁ tau intercept Baseline long-term coefficient	0.9248	8.90***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9979	1,649.38***

V-Lab

Cahya Mata Sarawak BHD ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cahya Mata Sarawak BHD Analyses