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	0.9417	3.40***
α ARCH Response to squared shocks	0.1017	10.06***
β GARCH Volatility persistence	0.8875	73.40***

γ₁	-0.2003	-6.22***
γ₂	0.3036	6.55***
γ₃	-0.1507	-5.68***
γ₄	0.0811	3.64***
γ₅	-0.0737	-2.62***

V-Lab

Nagaileben Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nagaileben Co Ltd Analyses