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	116
α ARCH Response to squared shocks	0.2406	1.07
β GARCH Volatility persistence	0.8421	119.85***
γ leverage Additional response to negative shocks	-0.1878	-0.45
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0135	1.14
λ₃ tau persistence Long-term factor persistence	0.9830	1,206.08***

V-Lab

Malaysian Pacific Indus Bhd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malaysian Pacific Indus Bhd Analyses