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	1.1220	4.12***
α ARCH Response to squared shocks	0.1781	11.16***
β GARCH Volatility persistence	0.8209	51.48***

γ₁	0.1210	3.46***
γ₂	-0.2543	-4.85***
γ₃	0.1968	6.07***
γ₄	-0.0711	-2.80***
γ₅	0.0272	0.84

V-Lab

Right Way Industrial Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Right Way Industrial Co Ltd Analyses