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	1.84*
β GARCH Volatility persistence	0.8199	163.78***
γ leverage Additional response to negative shocks	-0.1446	-0.88
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.09***
λ₂ forecast adj. Forecast performance sensitivity	0.7227	3.46***
λ₃ tau persistence Long-term factor persistence	0.2773	1.35

V-Lab

Neostellar Capital Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neostellar Capital Corp Analyses