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	0.0927	2.09**
β GARCH Volatility persistence	0.8959	212.24***
γ leverage Additional response to negative shocks	-0.0820	-1.40
λ₁ tau intercept Baseline long-term coefficient	2.3683	13.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9984	224.91***

V-Lab

Rai Way S.p.A. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rai Way S.p.A. Analyses