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	0.8474	3.27***
α ARCH Response to squared shocks	0.1781	8.00***
β GARCH Volatility persistence	0.8194	36.60***

γ₁	-0.6615	-5.14***
γ₂	0.9344	3.24***

V-Lab

Jaic Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jaic Co Ltd Analyses