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	0.1281	0.12
β GARCH Volatility persistence	0.6945	36.05***
γ leverage Additional response to negative shocks	-0.1281	-0.06
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.0447	0.13
λ₃ tau persistence Long-term factor persistence	0.9553	22.45***

V-Lab

S.N.T.G.N. Transgaz S.A. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other S.N.T.G.N. Transgaz S.A. Analyses