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	4.5704	3.00***
α ARCH Response to squared shocks	0.2659	6.74***
β GARCH Volatility persistence	0.7141	21.96***

γ₁	-0.5726	-0.46
γ₂	-0.8453	-0.40
γ₃	3.2536	2.39**
γ₄	-2.1512	-2.77***
γ₅	0.1067	0.18
γ₆	0.0416	0.06
γ₇	0.0646	0.08
γ₈	1.4846	1.83*
γ₉	-3.6475	-4.15***

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Productive Technologies Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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