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	0.1791
β GARCH Volatility persistence	0.3301
γ leverage Additional response to negative shocks	0.1340
λ₁ tau intercept Baseline long-term coefficient	0.0100	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.0990
λ₃ tau persistence Long-term factor persistence	0.4680

V-Lab

Orsted AS ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orsted AS Analyses