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	126
α ARCH Response to squared shocks	0.2048	0.16
β GARCH Volatility persistence	0.7104	27.38***
γ leverage Additional response to negative shocks	-0.2048	-0.08
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.1197	0.52
λ₃ tau persistence Long-term factor persistence	0.8803	1.75*

V-Lab

Naseej International Trading ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naseej International Trading Analyses