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	0.3592	0.32
β GARCH Volatility persistence	0.7723	49.85***
γ leverage Additional response to negative shocks	-0.2945	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0129	0.33
λ₃ tau persistence Long-term factor persistence	0.9871	359.58***

V-Lab

Excelsior Capital Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Excelsior Capital Ltd Analyses