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	86
α ARCH Response to squared shocks	0.0787	0.07
β GARCH Volatility persistence	0.8683	18.04***
γ leverage Additional response to negative shocks	-0.0787	-0.03
λ₁ tau intercept Baseline long-term coefficient	4.0903	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.1217	0.14
λ₃ tau persistence Long-term factor persistence	0.8783	1.02

V-Lab

Famous Brands Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Famous Brands Ltd Analyses