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	0.5141	6.62***
α ARCH Response to squared shocks	0.1486	11.13***
β GARCH Volatility persistence	0.8229	54.56***

γ₁	-1.1863	-3.93***
γ₂	1.2114	2.41**
γ₃	0.0607	0.13
γ₄	-0.6606	-1.47
γ₅	1.6550	4.80***
γ₆	-2.0238	-4.23***
γ₇	1.4743	2.04**
γ₈	-0.5425	-0.68

V-Lab

Ecomic Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ecomic Co Ltd Analyses