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	31
α ARCH Response to squared shocks	0.8859	0.04
β GARCH Volatility persistence	0.3635	1.78*
γ leverage Additional response to negative shocks	-0.5000	-0.01
λ₁ tau intercept Baseline long-term coefficient	0.0328	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.3867	0.05
λ₃ tau persistence Long-term factor persistence	0.6133	0.37

V-Lab

Stakk Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stakk Ltd Analyses