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	0.0478	24.20***
β GARCH Volatility persistence	0.9392	300.06***
γ leverage Additional response to negative shocks	-0.0002	-0.21
λ₁ tau intercept Baseline long-term coefficient	10,251.9100

V-Lab

Kilima FIC FII Suno30 ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kilima FIC FII Suno30 Analyses