How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.5000	21.53***
β GARCH Volatility persistence	0.2031	11.26***
γ leverage Additional response to negative shocks	-0.5000	-16.45***
λ₁ tau intercept Baseline long-term coefficient	2,250.5090

V-Lab

Gaudium IVF & Women Health Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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