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	0.2143	27.03***
β GARCH Volatility persistence	0.7452	91.09***
γ leverage Additional response to negative shocks	0.0336	5.78***
λ₁ tau intercept Baseline long-term coefficient	93,101.4600

V-Lab

Kandarp Digi Smart BPO Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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