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	126
α ARCH Response to squared shocks	0.0277	1.19
β GARCH Volatility persistence	0.9828	235.07***
γ leverage Additional response to negative shocks	-0.0212	-0.53
λ₁ tau intercept Baseline long-term coefficient	4.7944	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0011	1.01
λ₃ tau persistence Long-term factor persistence	0.9989	129.90***

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Katana Capital Ltd/Fund ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Katana Capital Ltd/Fund Analyses