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	116
α ARCH Response to squared shocks	0.0826	0.16
β GARCH Volatility persistence	0.9111	28.13***
γ leverage Additional response to negative shocks	0.0123	0.01
λ₁ tau intercept Baseline long-term coefficient	9.1613	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1661	0.81
λ₃ tau persistence Long-term factor persistence	0.8339	0.71

V-Lab

Reach Subsea Asa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Reach Subsea Asa Analyses