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	66
α ARCH Response to squared shocks	0.2321	7.44***
β GARCH Volatility persistence	0.7979	35.99***
γ leverage Additional response to negative shocks	-0.2320	-5.99***
λ₁ tau intercept Baseline long-term coefficient	0.0112	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.9829	1.30
λ₃ tau persistence Long-term factor persistence	0.0171	13.98***

V-Lab

T-Cap Securities JSC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other T-Cap Securities JSC Analyses