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	0.0158	1.48
β GARCH Volatility persistence	0.9075	3.79***
γ leverage Additional response to negative shocks	-0.0158	-0.36
λ₁ tau intercept Baseline long-term coefficient	41,793,650,000.0000

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