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	0.2285	5.07***
α ARCH Response to squared shocks	0.2598	3.81***
β GARCH Volatility persistence	0.3931	2.14**

γ₁	-3.6134	-1.29
γ₂	-1.3006	-0.29
γ₃	13.8472	4.07***
γ₄	-18.7071	-4.29***

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