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	2.3862	7.92***
α ARCH Response to squared shocks	0.1093	5.35***
β GARCH Volatility persistence	0.8689	74.84***
γ leverage Additional response to negative shocks	0.0113	0.40

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GFI Co Ltd/Korea Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GFI Co Ltd/Korea Analyses