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	1.8390	1.37
α ARCH Response to squared shocks	0.2556	10.07***
β GARCH Volatility persistence	0.7039	27.64***

γ₁	-1.1198	-6.75***
γ₂	1.8922	13.47***
γ₃	-1.0197	-5.34***
γ₄	0.2782	1.46
γ₅	-0.3060	-1.31

V-Lab

Jetbest Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jetbest Corp Analyses