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	21
α ARCH Response to squared shocks	0.2899	0.59
β GARCH Volatility persistence	0.5757	37.33***
γ leverage Additional response to negative shocks	-0.2899	-0.30
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.48
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.60
λ₃ tau persistence Long-term factor persistence	0.0000	0.06

V-Lab

Nintec Systems Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nintec Systems Ltd Analyses