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	31
α ARCH Response to squared shocks	0.0927	0.51
β GARCH Volatility persistence	0.7811	67.02***
γ leverage Additional response to negative shocks	-0.0927	-0.24
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.8209	0.69
λ₃ tau persistence Long-term factor persistence	0.1791	0.35

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Turkiye Is Bankasi As ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Turkiye Is Bankasi As Analyses