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	106
α ARCH Response to squared shocks	0.7512	10.28***
β GARCH Volatility persistence	0.3118	34.39***
γ leverage Additional response to negative shocks	-0.1280	-0.98
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9999	12.55***
λ₃ tau persistence Long-term factor persistence	0.0001	0.09

V-Lab

Ikoma Technologies Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ikoma Technologies Ltd Analyses