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	1.0993	3.72***
α ARCH Response to squared shocks	0.1751	14.41***
β GARCH Volatility persistence	0.8191	71.11***

γ₁	-0.0659	-3.60***
γ₂	0.1074	4.36***
γ₃	-0.0590	-3.24***

V-Lab

San Shing Fastech Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other San Shing Fastech Analyses