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	0.5783	6.05***
α ARCH Response to squared shocks	0.1299	10.16***
β GARCH Volatility persistence	0.7473	116.02***
γ leverage Additional response to negative shocks	0.1996	10.30***

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K-Auction Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other K-Auction Co Ltd Analyses