How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5612	6.96***
α ARCH Response to squared shocks	0.1285	5.48***
β GARCH Volatility persistence	0.8104	26.79***

γ₁	-0.3612	-8.37***
γ₂	0.4646	7.47***
γ₃	-0.1030	-3.22***
γ₄	-0.0048	-0.19
γ₅	-0.0055	-0.14

V-Lab

MFF Capital Investments Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MFF Capital Investments Ltd Analyses