How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0903	10.76***
β GARCH Volatility persistence	0.9243	186.19***
γ leverage Additional response to negative shocks	-0.0333	-3.82***
λ₁ tau intercept Baseline long-term coefficient	97,855,990.0000

V-Lab

Tejassvi Aaharam Limited ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tejassvi Aaharam Limited Analyses