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	1.2928	0.34
α ARCH Response to squared shocks	0.2245	0.05
β GARCH Volatility persistence	0.7755	0.17

γ₁	0.3543	0.36
γ₂	-0.8737	-0.84
γ₃	0.6866	0.49
γ₄	-0.1358	-0.86
γ₅	0.0637	0.09
γ₆	-0.2937	-0.91
γ₇	0.3681	1.31
γ₈	-0.5557	-1.45

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Formosa Oilseed Processing Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Formosa Oilseed Processing Analyses