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	126
α ARCH Response to squared shocks	0.0969	10.13***
β GARCH Volatility persistence	0.8898	332.26***
γ leverage Additional response to negative shocks	-0.0969	-3.46***
λ₁ tau intercept Baseline long-term coefficient	4.5985	89.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9954	761.01***

V-Lab

SmartGroup Corp Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SmartGroup Corp Ltd Analyses