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	1.0132	3.09***
α ARCH Response to squared shocks	0.1597	5.54***
β GARCH Volatility persistence	0.6535	9.23***

γ₁	-30.2321	-5.74***
γ₂	45.2899	5.93***
γ₃	-11.8578	-3.33***
γ₄	-8.8092	-4.83***
γ₅	8.4138	6.24***
γ₆	-0.5442	-0.43
γ₇	-4.0308	-3.04***
γ₈	2.3872	1.60
γ₉	0.9313	0.34

V-Lab

BTB Korea Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BTB Korea Co Ltd Analyses