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	116
α ARCH Response to squared shocks	0.2087	1.32
β GARCH Volatility persistence	0.7963	83.05***
γ leverage Additional response to negative shocks	-0.2087	-0.78
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.93*
λ₂ forecast adj. Forecast performance sensitivity	0.0104	7.79***
λ₃ tau persistence Long-term factor persistence	0.9793	121.96***

V-Lab

Molten Ventures PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Molten Ventures PLC Analyses