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	126
α ARCH Response to squared shocks	0.1276	12.79***
β GARCH Volatility persistence	0.8591	78.18***
γ leverage Additional response to negative shocks	-0.1276	-8.31***
λ₁ tau intercept Baseline long-term coefficient	6.1953	2.32**
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9962	210.44***

V-Lab

Fnac Darty SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fnac Darty SA Analyses