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	0.8905	2.43**
α ARCH Response to squared shocks	0.2200	5.49***
β GARCH Volatility persistence	0.7764	19.17***

γ₁	-8.9911	-3.70***
γ₂	15.4154	3.69***
γ₃	-9.8458	-4.04***
γ₄	4.8638	5.15***
γ₅	-1.4131	-1.65*
γ₆	-1.0028	-1.15
γ₇	2.3160	2.64***
γ₈	-2.7471	-2.23**
γ₉	2.7050	1.55

V-Lab

Litu Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Litu Holdings Ltd Analyses