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	0.1588	0.46
β GARCH Volatility persistence	0.7443	18.77***
γ leverage Additional response to negative shocks	-0.1588	-0.24
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.9754	0.50
λ₃ tau persistence Long-term factor persistence	0.0006	1.26

V-Lab

Krishival Foods Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Krishival Foods Limited Analyses