How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.0740	0.10
β GARCH Volatility persistence	0.9234	18.25***
γ leverage Additional response to negative shocks	-0.0740	-0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.34
λ₂ forecast adj. Forecast performance sensitivity	0.8803	0.10
λ₃ tau persistence Long-term factor persistence	0.1066	0.16

V-Lab

Idorsia Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Idorsia Ltd Analyses