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	1.0901	3.16***
α ARCH Response to squared shocks	0.1831	20.78***
β GARCH Volatility persistence	0.8117	94.92***

γ₁	0.0693	0.33
γ₂	-1.0282	-2.94***
γ₃	3.3603	7.16***
γ₄	-4.2208	-5.84***
γ₅	2.5017	3.29***
γ₆	-2.1766	-3.49***
γ₇	3.4527	7.13***
γ₈	-2.8307	-8.73***
γ₉	0.9675	4.87***
γ₁₀	-0.0977	-0.43

V-Lab

GD Power Development Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other GD Power Development Co Ltd Analyses