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	0.5419	3.61***
α ARCH Response to squared shocks	0.2271	5.74***
β GARCH Volatility persistence	0.7711	19.37***

γ₁	-12.6550	-3.89***
γ₂	20.5428	3.80***
γ₃	-11.0534	-3.31***
γ₄	3.7120	1.59
γ₅	-0.4303	-0.19
γ₆	0.5257	0.31
γ₇	-2.5460	-1.86*
γ₈	4.5944	4.46***
γ₉	-5.5771	-6.95***
γ₁₀	6.0192	3.50***

V-Lab

Litu Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Litu Holdings Ltd Analyses