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	1.2945	2.79***
α ARCH Response to squared shocks	0.1666	4.72***
β GARCH Volatility persistence	0.8331	23.08***

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mekdam Holding Group W.L.L Analyses