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	1.0895	5.69***
α ARCH Response to squared shocks	0.1100	11.72***
β GARCH Volatility persistence	0.8883	99.08***

γ₁	0.2211	0.78
γ₂	-0.7619	-2.00**
γ₃	1.1347	5.38***
γ₄	-1.0208	-4.14***
γ₅	0.5518	2.65***
γ₆	-0.1548	-1.06
γ₇	0.1652	0.93
γ₈	-0.1159	-0.59
γ₉	-0.3870	-1.48

V-Lab

Placo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Placo Co Ltd Analyses