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	0.2289	2.38**
β GARCH Volatility persistence	0.5043	8.27***
γ leverage Additional response to negative shocks	-0.2289	-0.87
λ₁ tau intercept Baseline long-term coefficient	37,184,228.1745

V-Lab

Sherborne Investors (Guernsey) C Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sherborne Investors (Guernsey) C Limited Analyses