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	41
α ARCH Response to squared shocks	0.3504	0.91
β GARCH Volatility persistence	0.7884	22.24***
γ leverage Additional response to negative shocks	-0.3504	-0.49
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0001	0.07
λ₃ tau persistence Long-term factor persistence	0.9999	28.01***

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