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	0.9367	2.90***
α ARCH Response to squared shocks	0.2119	1.67*
β GARCH Volatility persistence	0.7880	6.25***

γ₁	-7.8941	-1.29
γ₂	14.9138	1.22
γ₃	-9.6426	-1.11
γ₄	2.5361	0.98
γ₅	0.1192	0.31
γ₆	-0.0398	-0.14
γ₇	-0.2218	-0.78
γ₈	0.6326	1.84*
γ₉	-0.5334	-1.13
γ₁₀	-0.1384	-0.25

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Polytronics Technology Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Polytronics Technology Corp Analyses