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	86
α ARCH Response to squared shocks	0.0591	1.80*
β GARCH Volatility persistence	0.9198	106.15***
γ leverage Additional response to negative shocks	-0.0591	-0.79
λ₁ tau intercept Baseline long-term coefficient	8.2580	3.07***
λ₂ forecast adj. Forecast performance sensitivity	0.0031	0.96
λ₃ tau persistence Long-term factor persistence	0.9925	619.18***

V-Lab

SigmaRoc PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SigmaRoc PLC Analyses