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	0.2069	0.19
β GARCH Volatility persistence	0.8135	128.96***
γ leverage Additional response to negative shocks	-0.0874	-0.04
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0039	0.44
λ₃ tau persistence Long-term factor persistence	0.9322	5.29***

V-Lab

TAKE Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TAKE Ltd Analyses