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	61
α ARCH Response to squared shocks	0.3737	0.97
β GARCH Volatility persistence	0.6633	48.38***
γ leverage Additional response to negative shocks	-0.3647	-0.54
λ₁ tau intercept Baseline long-term coefficient	1.8005	4.46***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9940	93.46***

V-Lab

Pakistan Aluminium Beverage ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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