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	0.8064	4.41***
α ARCH Response to squared shocks	0.2191	0.73
β GARCH Volatility persistence	0.7809	2.59***

γ₁	-1.6048	-0.25
γ₂	-0.4743	-0.06
γ₃	7.0715	3.07***
γ₄	-9.1057	-5.42***
γ₅	5.9439	6.71***
γ₆	-4.0366	-5.55***
γ₇	5.2624	4.51***

V-Lab

Virtual Mind Holding Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Virtual Mind Holding Co Ltd Analyses