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	0.8103	2.56**
α ARCH Response to squared shocks	0.1531	5.31***
β GARCH Volatility persistence	0.6308	7.69***

γ₁	-36.5012	-5.55***
γ₂	50.5648	5.55***
γ₃	-8.1846	-2.12**
γ₄	-9.3906	-4.38***
γ₅	1.1945	0.69
γ₆	7.5604	4.41***
γ₇	-6.4063	-3.85***
γ₈	1.1962	0.67
γ₉	-0.6642	-0.32
γ₁₀	4.5582	1.64

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