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	21
α ARCH Response to squared shocks	0.1803	0.87
β GARCH Volatility persistence	0.7613	19.82***
γ leverage Additional response to negative shocks	-0.1803	-0.41
λ₁ tau intercept Baseline long-term coefficient	3.8041	1.53
λ₂ forecast adj. Forecast performance sensitivity	0.0510	1.82*
λ₃ tau persistence Long-term factor persistence	0.9472	33.00***

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Southern Province Cement Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Southern Province Cement Co Analyses