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	0.7971
α ARCH Response to squared shocks	0.1528
β GARCH Volatility persistence	0.8472

γ₁	0.6146
γ₂	-0.9278
γ₃	0.1070
γ₄	0.2441

V-Lab

3M India Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3M India Ltd Analyses