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	0.9088	0.03
α ARCH Response to squared shocks	0.1347	0.00
β GARCH Volatility persistence	0.8653	0.03

γ₁	0.1028	0.00
γ₂	-0.2177	-0.05
γ₃	0.0919	0.00
γ₄	0.0345	0.00
γ₅	0.0234	0.00

V-Lab

3M India Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3M India Ltd Analyses