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	0.5759	1.48
β GARCH Volatility persistence	0.6673	107.28***
γ leverage Additional response to negative shocks	-0.5000	-3.52***
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.05
λ₃ tau persistence Long-term factor persistence	0.9593	123.83***

V-Lab

Ecopack Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ecopack Ltd Analyses