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	106
α ARCH Response to squared shocks	0.1928	0.56
β GARCH Volatility persistence	0.8650	161.00***
γ leverage Additional response to negative shocks	-0.1256	-0.70
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0031	0.50
λ₃ tau persistence Long-term factor persistence	0.2124	2.92***

V-Lab

Vietnam BDC Construction ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vietnam BDC Construction Analyses