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	0.1274	1.49
β GARCH Volatility persistence	0.6686	12.79***
γ leverage Additional response to negative shocks	0.3624	4.51***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.0349	1.99**
λ₃ tau persistence Long-term factor persistence	0.9646	128.81***

V-Lab

Colruyt Group N.V ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Colruyt Group N.V Analyses