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	0.5636	7.00***
α ARCH Response to squared shocks	0.1285	5.49***
β GARCH Volatility persistence	0.8106	26.88***

γ₁	-0.3592	-8.40***
γ₂	0.4630	7.51***
γ₃	-0.1045	-3.30***
γ₄	-0.0020	-0.08
γ₅	-0.0134	-0.35

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