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	31
α ARCH Response to squared shocks	0.1654	1.27
β GARCH Volatility persistence	0.7159	18.26***
γ leverage Additional response to negative shocks	0.2352	1.28
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.1953	2.10**
λ₃ tau persistence Long-term factor persistence	0.8040	3.25***

V-Lab

Oxford Lane Capital Corp. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oxford Lane Capital Corp. Analyses