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	31
α ARCH Response to squared shocks	0.2800	2.15**
β GARCH Volatility persistence	0.6834	45.96***
γ leverage Additional response to negative shocks	-0.2800	-1.00
λ₁ tau intercept Baseline long-term coefficient	10.0000	8.85***
λ₂ forecast adj. Forecast performance sensitivity	0.2014	8.76***
λ₃ tau persistence Long-term factor persistence	0.7880	7.29***

V-Lab

Vaishali Pharma Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vaishali Pharma Ltd Analyses