How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0694	7.30***
β GARCH Volatility persistence	0.8979	169.32***
γ leverage Additional response to negative shocks	0.0049	0.24
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.98***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9991	1,344.63***

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Vietnam Enterprise Investments Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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