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	1.0684	4.33***
α ARCH Response to squared shocks	0.2979	15.44***
β GARCH Volatility persistence	0.6918	33.46***

γ₁	-0.1551	-3.32***
γ₂	0.4602	4.21***

V-Lab

Lindeman Asia Inve Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lindeman Asia Inve Analyses