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	96
α ARCH Response to squared shocks	0.0882	4.67***
β GARCH Volatility persistence	0.9231	268.66***
γ leverage Additional response to negative shocks	-0.0350	-0.98
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0012	1.97**
λ₃ tau persistence Long-term factor persistence	0.9955	2,585.71***

V-Lab

Trisul Sa ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Trisul Sa Analyses