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	0.1936	6.66***
β GARCH Volatility persistence	0.7686	26.28***
γ leverage Additional response to negative shocks	0.0288	1.35
λ₁ tau intercept Baseline long-term coefficient	92,387.0675

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Kandarp Digi Smart BPO Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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