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	21
α ARCH Response to squared shocks	0.1079	0.02
β GARCH Volatility persistence	0.5508	11.84***
γ leverage Additional response to negative shocks	-0.1079	-0.01
λ₁ tau intercept Baseline long-term coefficient	2.8621	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0349	0.02
λ₃ tau persistence Long-term factor persistence	0.9651	34.23***

V-Lab

Enghouse Systems Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Enghouse Systems Ltd Analyses