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	0.8936	2.23**
α ARCH Response to squared shocks	0.2204	5.40***
β GARCH Volatility persistence	0.7756	18.89***

γ₁	-8.7608	-3.66***
γ₂	15.0560	3.65***
γ₃	-9.6736	-4.00***
γ₄	4.8261	5.18***
γ₅	-1.4112	-1.72*
γ₆	-1.0493	-1.24
γ₇	2.4250	3.02***
γ₈	-2.9444	-2.63***
γ₉	3.1511	1.88*

V-Lab

Litu Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Litu Holdings Ltd Analyses