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	1.0312	6.60***
α ARCH Response to squared shocks	0.2405	2.77***
β GARCH Volatility persistence	0.7594	8.73***

γ₁	-0.2167	-0.18
γ₂	0.9976	0.39
γ₃	-0.4321	-0.16
γ₄	-4.6819	-1.18
γ₅	9.7354	1.56
γ₆	-6.7341	-1.26
γ₇	-0.0213	-0.01
γ₈	2.5469	3.97***
γ₉	-2.2200	-2.55**

V-Lab

Chander Electronics Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chander Electronics Corp Analyses