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	0.7885	10.03***
α ARCH Response to squared shocks	0.1536	6.30***
β GARCH Volatility persistence	0.7714	22.48***

γ₁	0.0890	0.50
γ₂	-0.7094	-2.23**
γ₃	1.6458	5.37***
γ₄	-2.6967	-5.62***

V-Lab

TST Group Holding Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TST Group Holding Ltd Analyses