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	0.7142	6.60***
α ARCH Response to squared shocks	0.2790	5.95***
β GARCH Volatility persistence	0.5863	9.53***

γ₁	-1.5437	-4.00***
γ₂	3.2036	4.19***

V-Lab

Asmarq Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asmarq Co Ltd Analyses