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	0.6822	2.78***
α ARCH Response to squared shocks	0.0215	1.29
β GARCH Volatility persistence	0.8498	5.65***

γ₁	9.4162	1.38
γ₂	-12.6378	-1.40
γ₃	1.1982	0.14
γ₄	2.2964	0.21
γ₅	2.7008	0.28
γ₆	-12.6102	-1.51
γ₇	15.5321	1.62
γ₈	5.4134	0.42
γ₉	-42.4915	-1.91*

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Angel Seafood Holdings Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Angel Seafood Holdings Limited Analyses