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	61
α ARCH Response to squared shocks	0.0977	0.69
β GARCH Volatility persistence	0.8880	99.55***
γ leverage Additional response to negative shocks	-0.0720	-0.26
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0147	0.74
λ₃ tau persistence Long-term factor persistence	0.9843	330.86***

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Southern Cross Electrical Engineering Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Southern Cross Electrical Engineering Ltd Analyses