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	21
α ARCH Response to squared shocks	0.4605	0.33
β GARCH Volatility persistence	0.0643	2.09**
γ leverage Additional response to negative shocks	-0.4605	-0.16
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.67
λ₂ forecast adj. Forecast performance sensitivity	0.1708	0.88
λ₃ tau persistence Long-term factor persistence	0.8292	2.29**

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Ganesh Infraworld Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ganesh Infraworld Limited Analyses