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	46
α ARCH Response to squared shocks	0.1407	0.15
β GARCH Volatility persistence	0.6702	13.02***
γ leverage Additional response to negative shocks	-0.1407	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.4211	0.29
λ₃ tau persistence Long-term factor persistence	0.5789	0.44

V-Lab

PM Capital Global Opportunities Fund Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PM Capital Global Opportunities Fund Ltd Analyses