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	26
α ARCH Response to squared shocks	0.1035	1.16
β GARCH Volatility persistence	0.8118	34.86***
γ leverage Additional response to negative shocks	-0.1035	-0.50
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.96***
λ₂ forecast adj. Forecast performance sensitivity	0.0358	2.28**
λ₃ tau persistence Long-term factor persistence	0.9596	43.00***

V-Lab

Troax Group AB ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Troax Group AB Analyses