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	101
α ARCH Response to squared shocks	0.1802	3.47***
β GARCH Volatility persistence	0.8349	386.87***
γ leverage Additional response to negative shocks	-0.1802	-2.78***
λ₁ tau intercept Baseline long-term coefficient	9.9952	7.06***
λ₂ forecast adj. Forecast performance sensitivity	0.9654	3.73***
λ₃ tau persistence Long-term factor persistence	0.0134	1.28

V-Lab

Euroseas Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Euroseas Ltd Analyses