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	1.0212	0.44
α ARCH Response to squared shocks	0.1946	0.05
β GARCH Volatility persistence	0.8054	0.20

γ₁	-0.3774	-1.12
γ₂	0.3925	1.15
γ₃	0.0591	0.68
γ₄	-0.1674	-2.39**

V-Lab

Runsystem Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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