How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.06
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1300	0.92
λ₁ tau intercept Baseline long-term coefficient	2,288,505.8426

V-Lab

WAM Active Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other WAM Active Ltd Analyses