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	66
α ARCH Response to squared shocks	0.2006	0.86
β GARCH Volatility persistence	0.7737	31.09***
γ leverage Additional response to negative shocks	-0.1544	-0.32
λ₁ tau intercept Baseline long-term coefficient	10.0000	6.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0632	4.38***
λ₃ tau persistence Long-term factor persistence	0.9368	16.02***

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Hong Leong Financial Group Bhd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hong Leong Financial Group Bhd Analyses