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	1.4354	1.88*
α ARCH Response to squared shocks	0.1766	4.85***
β GARCH Volatility persistence	0.8220	22.35***

γ₁	-1.6298	-0.18
γ₂	9.1885	0.75
γ₃	-19.9589	-2.32**
γ₄	19.4811	3.24***
γ₅	-7.1984	-1.85*
γ₆	-7.0732	-1.15
γ₇	26.9143	2.02**
γ₈	-36.4748	-2.15**
γ₉	21.2615	1.73*
γ₁₀	-4.4387	-0.60

V-Lab

Epiroc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses