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	1.4855	1.91*
α ARCH Response to squared shocks	0.1882	4.62***
β GARCH Volatility persistence	0.8102	19.58***

γ₁	-1.6119	-0.19
γ₂	9.0688	0.75
γ₃	-19.3560	-2.22**
γ₄	18.1041	3.07***
γ₅	-5.7852	-1.48
γ₆	-9.4218	-1.29
γ₇	31.9496	1.91*
γ₈	-40.3550	-2.00**
γ₉	20.2340	1.60
γ₁₀	-1.3975	-0.22

V-Lab

Epiroc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses