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	5.0000	3.30***
α ARCH Response to squared shocks	0.8913	0.60
β GARCH Volatility persistence	0.4428	1.75*
γ leverage Additional response to negative shocks	-0.6682	-0.44

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HBIS Resources Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other HBIS Resources Co Ltd Analyses