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	71
α ARCH Response to squared shocks	0.1537	0.90
β GARCH Volatility persistence	0.8347	52.11***
γ leverage Additional response to negative shocks	0.0199	0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.1907	15.34***
λ₃ tau persistence Long-term factor persistence	0.8093	4.31***

V-Lab

Kardex Holding Ag ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kardex Holding Ag Analyses