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	0.2068	8.88***
β GARCH Volatility persistence	0.8058	168.18***
γ leverage Additional response to negative shocks	-0.2068	-5.09***
λ₁ tau intercept Baseline long-term coefficient	6.5047	10.20***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.9960	3,182.17***

V-Lab

Egetis Therapeutics Ab (Publ ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Egetis Therapeutics Ab (Publ Analyses