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	41
α ARCH Response to squared shocks	0.1225	1.22
β GARCH Volatility persistence	0.8186	30.35***
γ leverage Additional response to negative shocks	-0.1225	-0.53
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.78
λ₂ forecast adj. Forecast performance sensitivity	0.1448	2.11**
λ₃ tau persistence Long-term factor persistence	0.8473	4.57***

V-Lab

Klabin SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Klabin SA Analyses