How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.3230	2.10**
β GARCH Volatility persistence	0.6951	135.44***
γ leverage Additional response to negative shocks	-0.3230	-1.14
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.27***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9899	208.97***

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Maheshwari Logistics Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Maheshwari Logistics Ltd Analyses