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	1.5052	2.67***
α ARCH Response to squared shocks	0.1535	6.12***
β GARCH Volatility persistence	0.8314	21.79***

γ₁	2.5712	0.90
γ₂	-18.2158	-3.89***
γ₃	33.5997	9.24***
γ₄	-24.4962	-5.79***
γ₅	9.1411	2.33**
γ₆	-5.1961	-1.74*
γ₇	5.2958	1.52

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Yancoal Australia Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yancoal Australia Ltd Analyses