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	100.0000	1.09
α ARCH Response to squared shocks	0.4598	3.93***
β GARCH Volatility persistence	0.5155	6.61***

γ₁	29.5105	4.34***
γ₂	-52.1788	-3.37***
γ₃	47.7244	2.50**
γ₄	-28.5475	-1.90*
γ₅	-14.9415	-1.86*
γ₆	29.5860	5.11***
γ₇	-9.9044	-1.62
γ₈	-1.0469	-0.21
γ₉	-2.8425	-0.86
γ₁₀	9.7211	2.08**

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Major-Power Technology Co Lt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Major-Power Technology Co Lt Analyses