How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8829	0.00
α ARCH Response to squared shocks	0.2688	0.00
β GARCH Volatility persistence	0.7312	0.00

γ₁	0.2104	0.00
γ₂	-0.5861	0.00
γ₃	0.6143	0.03
γ₄	-0.3521	-0.01
γ₅	0.2513	0.03

V-Lab

SPIC Green Energy Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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