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	1.4262	0.07
α ARCH Response to squared shocks	0.2103	0.00
β GARCH Volatility persistence	0.7897	0.01

γ₁	-0.2788	0.00
γ₂	-1.2157	0.00
γ₃	2.6646	0.01
γ₄	-1.2009	-0.07
γ₅	-0.2975	0.00

V-Lab

Soonest Express Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Soonest Express Co Ltd Analyses