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	0.8881	4.21***
α ARCH Response to squared shocks	0.2979	13.97***
β GARCH Volatility persistence	0.7017	32.96***

γ₁	-0.9228	-1.67*
γ₂	3.5991	2.26**
γ₃	-6.6588	-2.08**
γ₄	7.6196	1.56
γ₅	-5.1860	-1.28
γ₆	1.7254	1.25
γ₇	-0.2440	-1.33
γ₈	0.0854	0.54

V-Lab

HBIS Resources Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other HBIS Resources Co Ltd Analyses