How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.3478	2.43**
β GARCH Volatility persistence	0.7900	20.89***
γ leverage Additional response to negative shocks	-0.3478	-1.62
λ₁ tau intercept Baseline long-term coefficient	2,203,857.9191

V-Lab

Sandon Capital Investments Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sandon Capital Investments Ltd Analyses