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	1.4536	4.85***
α ARCH Response to squared shocks	0.2080	14.46***
β GARCH Volatility persistence	0.7917	55.08***

γ₁	-0.9830	-0.76
γ₂	3.4643	1.28
γ₃	-4.6834	-1.84*
γ₄	3.6383	2.43**
γ₅	-3.6323	-3.13***
γ₆	4.8728	3.59***
γ₇	-4.0513	-4.00***
γ₈	1.5909	3.88***
γ₉	-0.2276	-0.78

V-Lab

NAM LIONG GLOBAL CORP Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NAM LIONG GLOBAL CORP Analyses