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	1.4839	1.97**
α ARCH Response to squared shocks	0.2858	3.26***
β GARCH Volatility persistence	0.5427	8.05***

γ₁	-0.1933	-0.08
γ₂	-0.6038	-0.15
γ₃	0.5813	0.27
γ₄	1.1613	1.56
γ₅	-2.1087	-1.94*
γ₆	2.6969	2.52**
γ₇	-2.8939	-3.92***
γ₈	2.2114	3.57***
γ₉	-1.0023	-1.76*
γ₁₀	-1.1033	-1.38

V-Lab

Atal SA/Poland Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Atal SA/Poland Analyses