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	5.0000	0.12
α ARCH Response to squared shocks	0.1234	8.07***
β GARCH Volatility persistence	0.8550	172.21***
γ leverage Additional response to negative shocks	0.0432	1.42

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Mekdam Holding Group W.L.L Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mekdam Holding Group W.L.L Analyses