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	26
α ARCH Response to squared shocks	0.1331	0.36
β GARCH Volatility persistence	0.8772	105.80***
γ leverage Additional response to negative shocks	-0.1331	-0.77
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9597	18.64***

V-Lab

Xspray Pharma Ab ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Xspray Pharma Ab Analyses