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	126
α ARCH Response to squared shocks	0.4274	1.87*
β GARCH Volatility persistence	0.7606	40.66***
γ leverage Additional response to negative shocks	-0.4049	-0.93
λ₁ tau intercept Baseline long-term coefficient	5.0976	24.86***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9987	1,320.99***

V-Lab

Thal Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Thal Ltd Analyses