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	36
α ARCH Response to squared shocks	0.1707	0.90
β GARCH Volatility persistence	0.8120	129.84***
γ leverage Additional response to negative shocks	-0.1707	-0.43
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.2789	2.58***
λ₃ tau persistence Long-term factor persistence	0.7211	3.43***

V-Lab

Megastar Foods Lim ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Megastar Foods Lim Analyses