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	13.1139	3.35***
α ARCH Response to squared shocks	0.3811	7.83***
β GARCH Volatility persistence	0.6155	13.08***

γ₁	0.2732	0.26
γ₂	-1.6448	-0.75
γ₃	4.1904	1.93*
γ₄	-6.4874	-3.02***
γ₅	8.4892	3.70***
γ₆	-18.3732	-6.23***
γ₇	31.7956	7.43***
γ₈	-22.6619	-5.11***
γ₉	-23.5558	-1.38
γ₁₀	71.0833	2.16**

V-Lab

Wieson Technologies Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wieson Technologies Co Ltd Analyses