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	0.5741	2.73***
α ARCH Response to squared shocks	0.0701	10.48***
β GARCH Volatility persistence	0.9239	123.97***

γ₁	-0.1120	-0.50
γ₂	0.1667	0.54
γ₃	-0.4753	-2.21**
γ₄	1.0894	4.74***
γ₅	-1.3546	-7.18***
γ₆	1.1996	6.37***
γ₇	-1.1138	-3.84***
γ₈	1.3894	4.20***
γ₉	-1.3414	-4.68***
γ₁₀	0.9505	2.77***

V-Lab

CAR Mate MFG Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CAR Mate MFG Co Ltd Analyses