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	0.5229	4.61***
β GARCH Volatility persistence	0.6749	82.54***
γ leverage Additional response to negative shocks	-0.3963	-1.82*
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0077	28.31***
λ₃ tau persistence Long-term factor persistence	0.9832	396.30***

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Hira Textile Mills Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hira Textile Mills Ltd Analyses