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	0.1653	0.10
β GARCH Volatility persistence	0.8530	106.27***
γ leverage Additional response to negative shocks	-0.1653	-0.05
λ₁ tau intercept Baseline long-term coefficient	1.8218	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.0037	0.11
λ₃ tau persistence Long-term factor persistence	0.8437	3.11***

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Cords Cable Industries Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cords Cable Industries Ltd Analyses