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	14.3767	2.70***
α ARCH Response to squared shocks	0.3743	7.75***
β GARCH Volatility persistence	0.5780	10.59***

γ₁	14.7911	1.79*
γ₂	-52.1464	-3.12***
γ₃	90.0457	5.19***
γ₄	-79.1537	-6.43***
γ₅	33.6361	7.27***
γ₆	-10.4023	-3.29***
γ₇	5.4074	0.97

V-Lab

Taiwan Auto-Design Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Taiwan Auto-Design Co Analyses