How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1909	1.05
β GARCH Volatility persistence	0.8925	25.91***
γ leverage Additional response to negative shocks	-0.1909	-0.46
λ₁ tau intercept Baseline long-term coefficient	361,489,724,493.1983

V-Lab

Semilux International Ltd -Redh ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses