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	46
α ARCH Response to squared shocks	0.1500	3.04***
β GARCH Volatility persistence	0.8160	19.28***
γ leverage Additional response to negative shocks	0.0643	0.92
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0332	3.19***
λ₃ tau persistence Long-term factor persistence	0.9668	103.37***

V-Lab

Savimex Corporation ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Savimex Corporation Analyses