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	51
α ARCH Response to squared shocks	0.1060	0.04
β GARCH Volatility persistence	0.7408	5.14***
γ leverage Additional response to negative shocks	-0.1060	-0.02
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.1339	0.05
λ₃ tau persistence Long-term factor persistence	0.8661	0.84

V-Lab

Elementis PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Elementis PLC Analyses