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	21
α ARCH Response to squared shocks	0.2568	0.88
β GARCH Volatility persistence	0.5619	10.51***
γ leverage Additional response to negative shocks	0.3571	0.74
λ₁ tau intercept Baseline long-term coefficient	0.0153	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.4603	1.84*
λ₃ tau persistence Long-term factor persistence	0.5397	2.02**

V-Lab

Sharat Industries Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sharat Industries Ltd Analyses