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	1.3993	4.71***
α ARCH Response to squared shocks	0.2185	6.47***
β GARCH Volatility persistence	0.7800	22.81***

γ₁	0.2900	0.18
γ₂	-2.7202	-1.08
γ₃	7.6621	3.76***
γ₄	-9.4282	-5.83***
γ₅	6.0274	6.91***
γ₆	-4.0728	-5.76***
γ₇	5.5963	5.09***

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