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	0.8508	0.18
α ARCH Response to squared shocks	0.1735	0.02
β GARCH Volatility persistence	0.8265	0.11

γ₁	0.2683	0.00
γ₂	-0.7270	-0.01
γ₃	0.7488	0.14
γ₄	-0.4768	-0.11
γ₅	0.3771	0.09

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Css Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Css Holdings Ltd Analyses