How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1436	8.49***
β GARCH Volatility persistence	0.7289	26.11***
γ leverage Additional response to negative shocks	-0.1436	-0.89
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.3477	5.34***
λ₃ tau persistence Long-term factor persistence	0.6523	10.72***

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Geopark Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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