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	1.1102	4.36***
α ARCH Response to squared shocks	0.1387	1.36
β GARCH Volatility persistence	0.8612	8.42***

γ₁	0.0482	0.27
γ₂	-0.4240	-0.67
γ₃	0.8024	0.62
γ₄	0.0012	0.00
γ₅	-1.1546	-2.04**
γ₆	0.8920	2.00**
γ₇	-0.1145	-0.45
γ₈	-0.0204	-0.13
γ₉	-0.1986	-0.98

V-Lab

Great Eagle Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Great Eagle Holdings Ltd Analyses