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	0.6360	4.99***
α ARCH Response to squared shocks	0.1318	2.50**
β GARCH Volatility persistence	0.7737	10.38***

γ₁	-9.1652	-7.70***
γ₂	18.6485	7.41***

V-Lab

GFI Co Ltd/Korea Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GFI Co Ltd/Korea Analyses