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	0.5523	9.09***
β GARCH Volatility persistence	0.6416	168.50***
γ leverage Additional response to negative shocks	-0.3898	-4.09***
λ₁ tau intercept Baseline long-term coefficient	0.0000	8.50***
λ₂ forecast adj. Forecast performance sensitivity	0.0013	6.57***
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

V-Lab

MIDWEST ENERGY Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other MIDWEST ENERGY Ltd Analyses