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	26
α ARCH Response to squared shocks	0.2224	0.05
β GARCH Volatility persistence	0.7127	7.96***
γ leverage Additional response to negative shocks	-0.2224	-0.03
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.07
λ₂ forecast adj. Forecast performance sensitivity	0.1909	0.08
λ₃ tau persistence Long-term factor persistence	0.8091	0.68

V-Lab

Rojukiss International ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rojukiss International Analyses