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	126
α ARCH Response to squared shocks	0.0906	11.84***
β GARCH Volatility persistence	0.8538	94.39***
γ leverage Additional response to negative shocks	-0.0906	-2.23**
λ₁ tau intercept Baseline long-term coefficient	0.9255	45.65***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9934	586.43***

V-Lab

Hoegh Autoliners Asa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hoegh Autoliners Asa Analyses