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	10.7776	2.03**
α ARCH Response to squared shocks	0.2793	5.70***
β GARCH Volatility persistence	0.6726	12.27***

γ₁	1.3973	2.20**
γ₂	-1.4750	-1.62
γ₃	-0.0340	-0.07
γ₄	0.7772	2.59***
γ₅	-1.4980	-6.06***
γ₆	1.8900	8.86***
γ₇	-2.0236	-6.98***

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La Kaffa International Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other La Kaffa International Co Ltd Analyses