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	36
α ARCH Response to squared shocks	0.3762	0.10
β GARCH Volatility persistence	0.7350	42.77***
γ leverage Additional response to negative shocks	-0.3762	-0.05
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.0159	0.11
λ₃ tau persistence Long-term factor persistence	0.9841	106.59***

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Distilleries Co OF SRI Lanka ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Distilleries Co OF SRI Lanka Analyses