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	0.1513	0.09
β GARCH Volatility persistence	0.6843	29.85***
γ leverage Additional response to negative shocks	-0.1513	-0.05
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.0642	0.10
λ₃ tau persistence Long-term factor persistence	0.9358	17.37***

V-Lab

MFF Capital Investments Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MFF Capital Investments Ltd Analyses