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	0.8826	0.06
α ARCH Response to squared shocks	0.1384	0.01
β GARCH Volatility persistence	0.8616	0.03

γ₁	-0.4446	0.00
γ₂	0.7699	0.00
γ₃	-0.5884	0.00

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Daewon Sanup Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daewon Sanup Co Ltd Analyses