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	0.0968	0.14
β GARCH Volatility persistence	0.7913	16.19***
γ leverage Additional response to negative shocks	-0.0968	-0.07
λ₁ tau intercept Baseline long-term coefficient	8.8408	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0923	0.18
λ₃ tau persistence Long-term factor persistence	0.9062	5.81***

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L1 Group Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other L1 Group Ltd Analyses