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	61
α ARCH Response to squared shocks	0.0668	1.07
β GARCH Volatility persistence	0.8083	20.67***
γ leverage Additional response to negative shocks	0.2365	4.12***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0468	1.93*
λ₃ tau persistence Long-term factor persistence	0.9532	32.12***

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AXA Mansard Insurance PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AXA Mansard Insurance PLC Analyses