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	0.0921	4.01***
β GARCH Volatility persistence	0.8949	119.85***
γ leverage Additional response to negative shocks	-0.0921	-5.41***
λ₁ tau intercept Baseline long-term coefficient	1.5860	11.04***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9967	391.80***

V-Lab

Coronado Global Resources Inc. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Coronado Global Resources Inc. Analyses