How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1905	9.19***
β GARCH Volatility persistence	0.8031	60.69***
γ leverage Additional response to negative shocks	0.0015	0.06
λ₁ tau intercept Baseline long-term coefficient	77,735.2719

V-Lab

Mekdam Holding Group W.L.L ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mekdam Holding Group W.L.L Analyses