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	26
α ARCH Response to squared shocks	0.2060	3.22***
β GARCH Volatility persistence	0.7448	30.27***
γ leverage Additional response to negative shocks	-0.0766	-0.54
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.98***
λ₂ forecast adj. Forecast performance sensitivity	0.0690	2.35**
λ₃ tau persistence Long-term factor persistence	0.9202	16.79***

V-Lab

Fairchem Organics Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fairchem Organics Limited Analyses