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	0.5739	0.00
α ARCH Response to squared shocks	0.1027	0.00
β GARCH Volatility persistence	0.8973	0.00

γ₁	0.1054	0.00
γ₂	-0.2476	0.00
γ₃	0.2091	0.00
γ₄	-0.1019	0.00

V-Lab

Placo Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Placo Co Ltd Analyses