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	41
α ARCH Response to squared shocks	0.1402	1.57
β GARCH Volatility persistence	0.8199	41.91***
γ leverage Additional response to negative shocks	-0.1402	-0.76
λ₁ tau intercept Baseline long-term coefficient	3.0225	3.38***
λ₂ forecast adj. Forecast performance sensitivity	0.0510	3.18***
λ₃ tau persistence Long-term factor persistence	0.9485	65.05***

V-Lab

Consolidated Water Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Consolidated Water Co Ltd Analyses