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	21
α ARCH Response to squared shocks	0.1714	0.27
β GARCH Volatility persistence	0.7969	24.61***
γ leverage Additional response to negative shocks	0.0633	0.05
λ₁ tau intercept Baseline long-term coefficient	9.4529	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0783	0.32
λ₃ tau persistence Long-term factor persistence	0.9217	22.03***

V-Lab

Kse Ltd. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kse Ltd. Analyses