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	0.2281	5.02***
α ARCH Response to squared shocks	0.2609	3.88***
β GARCH Volatility persistence	0.4008	2.27**

γ₁	-3.9280	-1.45
γ₂	-0.5450	-0.13
γ₃	13.3248	3.98***
γ₄	-20.2332	-4.99***

V-Lab

Manabi AID Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Manabi AID Co Ltd Analyses