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	126
α ARCH Response to squared shocks	0.1839	0.23
β GARCH Volatility persistence	0.8387	143.03***
γ leverage Additional response to negative shocks	-0.1033	-0.07
λ₁ tau intercept Baseline long-term coefficient	9.1531	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2485	0.66

V-Lab

Polyplex (Thailand) Pcl ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Polyplex (Thailand) Pcl Analyses