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	0.8653	3.24***
α ARCH Response to squared shocks	0.2572	8.69***
β GARCH Volatility persistence	0.7424	25.26***

γ₁	-10.4525	-1.99**
γ₂	18.8402	1.92*
γ₃	-13.1536	-1.97**
γ₄	6.3019	2.51**
γ₅	-2.2246	-1.99**
γ₆	1.0474	0.70

V-Lab

Crg Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crg Holdings Co Ltd Analyses