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	26
α ARCH Response to squared shocks	0.2126	1.39
β GARCH Volatility persistence	0.5421	15.38***
γ leverage Additional response to negative shocks	-0.2126	-0.62
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.1388	8.36***
λ₃ tau persistence Long-term factor persistence	0.8609	8.21***

V-Lab

Cosmic CRF Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cosmic CRF Ltd Analyses