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	21
α ARCH Response to squared shocks	0.0861	0.31
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0861	-0.11
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.15
λ₂ forecast adj. Forecast performance sensitivity	0.1863	0.49
λ₃ tau persistence Long-term factor persistence	0.7691	1.03

V-Lab

Tenaris SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tenaris SA Analyses