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	0.1175	53.22***
β GARCH Volatility persistence	0.8737	410.94***
γ leverage Additional response to negative shocks	0.0051	4.30***
λ₁ tau intercept Baseline long-term coefficient	14,621.3500

V-Lab

Hapag-Lloyd Aktiengesellschaft ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hapag-Lloyd Aktiengesellschaft Analyses