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	126
α ARCH Response to squared shocks	0.0978	2.24**
β GARCH Volatility persistence	0.9469	242.55***
γ leverage Additional response to negative shocks	-0.0895	-1.18
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9731	266.60***

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Nodestream Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nodestream Ltd Analyses