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	1.6448	4.16***
α ARCH Response to squared shocks	0.1253	8.91***
β GARCH Volatility persistence	0.8540	52.22***

γ₁	0.0623	0.53
γ₂	-0.3839	-2.24**
γ₃	0.7193	7.19***
γ₄	-0.6767	-7.67***
γ₅	0.4830	4.66***
γ₆	-0.3454	-2.35**

V-Lab

Kfc Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kfc Ltd Analyses