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	101
α ARCH Response to squared shocks	0.2155	0.17
β GARCH Volatility persistence	0.8374	154.76***
γ leverage Additional response to negative shocks	-0.2155	-0.09
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9829	25.24***

V-Lab

Triton Valves Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Triton Valves Ltd Analyses