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	0.8462	37.04***
β GARCH Volatility persistence	0.3059	26.98***
γ leverage Additional response to negative shocks	-0.5000	-14.43***
λ₁ tau intercept Baseline long-term coefficient	1,579,947.0000

V-Lab

Galaxy Payroll Group Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Galaxy Payroll Group Ltd Analyses