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	0.0698	0.77
β GARCH Volatility persistence	0.6967	14.02***
γ leverage Additional response to negative shocks	-0.0698	-0.32
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.6111	0.73
λ₃ tau persistence Long-term factor persistence	0.3889	2.76***

V-Lab

Derwent London PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Derwent London PLC Analyses