How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.4777	25.66***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1271	3.49***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.0623	5.47***
λ₃ tau persistence Long-term factor persistence	0.9377	45.60***

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Msafe Equipments Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Msafe Equipments Ltd Analyses