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	0.7096	4.97***
α ARCH Response to squared shocks	0.1458	2.73***
β GARCH Volatility persistence	0.7636	10.76***

γ₁	-7.9373	-7.04***
γ₂	15.9902	6.91***

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