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	0.2305	6.58***
β GARCH Volatility persistence	0.6371	13.05***
γ leverage Additional response to negative shocks	-0.2305	-3.99***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.0726	4.27***
λ₃ tau persistence Long-term factor persistence	0.9274	66.43***

V-Lab

Nations Trust Bank Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nations Trust Bank Ltd Analyses