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	26
α ARCH Response to squared shocks	0.4158	0.32
β GARCH Volatility persistence	0.6657	155.54***
γ leverage Additional response to negative shocks	-0.3135	-0.12
λ₁ tau intercept Baseline long-term coefficient	8.2056	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.27
λ₃ tau persistence Long-term factor persistence	0.1243	0.67

V-Lab

Singer Bangladesh Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Singer Bangladesh Ltd Analyses