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	36
α ARCH Response to squared shocks	0.1446	1.85*
β GARCH Volatility persistence	0.8205	164.92***
γ leverage Additional response to negative shocks	-0.1446	-0.88
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.18***
λ₂ forecast adj. Forecast performance sensitivity	0.7167	3.49***
λ₃ tau persistence Long-term factor persistence	0.2833	1.39

V-Lab

Neostellar Capital Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neostellar Capital Corp Analyses