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{name} Model Equation

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.5746	1.36
αARCH	0.1761	8.01***
βGARCH	0.7574	20.26***

γ₁	1.7129	2.88***
γ₂	-3.9380	-5.26***
γ₃	4.0368	5.49***
γ₄	-1.8818	-2.62***
γ₅	-0.7163	-1.72*
γ₆	1.0348	3.36***
γ₇	-0.3235	-0.93
γ₈	0.3305	1.19
γ₉	-0.4274	-2.23**
γ₁₀	0.5618	2.27**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5746	1.36
α ARCH Response to squared shocks	0.1761	8.01***
β GARCH Volatility persistence	0.7574	20.26***

γ₁	1.7129	2.88***
γ₂	-3.9380	-5.26***
γ₃	4.0368	5.49***
γ₄	-1.8818	-2.62***
γ₅	-0.7163	-1.72*
γ₆	1.0348	3.36***
γ₇	-0.3235	-0.93
γ₈	0.3305	1.19
γ₉	-0.4274	-2.23**
γ₁₀	0.5618	2.27**

V-Lab

Oriental Watch Holdings Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oriental Watch Holdings Analyses