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	0.1673	0.27
β GARCH Volatility persistence	0.7649	12.99***
γ leverage Additional response to negative shocks	-0.1672	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	5.07***
λ₂ forecast adj. Forecast performance sensitivity	0.1887	5.38***
λ₃ tau persistence Long-term factor persistence	0.8113	1.23

V-Lab

De' Longhi SpA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other De' Longhi SpA Analyses