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	21
α ARCH Response to squared shocks	0.1591	0.08
β GARCH Volatility persistence	0.7656	8.31***
γ leverage Additional response to negative shocks	-0.1591	-0.04
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.3328	0.15
λ₃ tau persistence Long-term factor persistence	0.6641	0.37

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Ufo Moviez India Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ufo Moviez India Ltd Analyses