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	111
α ARCH Response to squared shocks	0.3144	0.12
β GARCH Volatility persistence	0.8378	60.10***
γ leverage Additional response to negative shocks	-0.3144	-0.06
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.0035	0.13
λ₃ tau persistence Long-term factor persistence	0.6476	1.54

V-Lab

RTG Mining Inc. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other RTG Mining Inc. Analyses