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	81
α ARCH Response to squared shocks	0.1282	0.16
β GARCH Volatility persistence	0.8271	20.87***
γ leverage Additional response to negative shocks	-0.1282	-0.08
λ₁ tau intercept Baseline long-term coefficient	0.9596	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0780	0.32
λ₃ tau persistence Long-term factor persistence	0.9220	3.78***

V-Lab

SAN Miguel Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SAN Miguel Corp Analyses