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	71
α ARCH Response to squared shocks	0.1163	1.30
β GARCH Volatility persistence	0.8736	49.79***
γ leverage Additional response to negative shocks	-0.0205	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.0332	8.42***
λ₃ tau persistence Long-term factor persistence	0.9668	35.60***

V-Lab

Skjern Bank ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Skjern Bank Analyses