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	1.2104	6.72***
α ARCH Response to squared shocks	0.2117	10.96***
β GARCH Volatility persistence	0.7802	42.26***

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Hy Electronic (Cayman) Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hy Electronic (Cayman) Ltd Analyses