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	0.1026	2.07**
α ARCH Response to squared shocks	0.1065	9.92***
β GARCH Volatility persistence	0.8786	304.87***
γ leverage Additional response to negative shocks	0.0298	1.76*

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BTB Korea Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BTB Korea Co Ltd Analyses