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	1.4063
α ARCH Response to squared shocks	0.1508
β GARCH Volatility persistence	0.8492

γ₁	-1.3692
γ₂	4.8991
γ₃	-6.1145
γ₄	3.1619
γ₅	-0.9443
γ₆	1.0146
γ₇	-1.5929
γ₈	1.9488

V-Lab

Orient Europharma Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Orient Europharma Co Ltd Analyses