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	0.0926	1.00
β GARCH Volatility persistence	0.9273	476.78***
γ leverage Additional response to negative shocks	-0.0926	-3.72***
λ₁ tau intercept Baseline long-term coefficient	0.0001	1.59
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9885	147.93***

V-Lab

Deep Yellow Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Deep Yellow Limited Analyses