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	46
α ARCH Response to squared shocks	0.2043
β GARCH Volatility persistence	0.7911
γ leverage Additional response to negative shocks	0.0092
λ₁ tau intercept Baseline long-term coefficient	2.6738
λ₂ forecast adj. Forecast performance sensitivity	0.1708
λ₃ tau persistence Long-term factor persistence	0.8292

V-Lab

Sreeleathers Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sreeleathers Ltd Analyses