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	66
α ARCH Response to squared shocks	0.1280	0.15
β GARCH Volatility persistence	0.8697	37.53***
γ leverage Additional response to negative shocks	-0.1280	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.0574	0.19
λ₃ tau persistence Long-term factor persistence	0.9408	12.70***

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Future Generation Australia Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Future Generation Australia Ltd Analyses