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	29.9356	3.77***
α ARCH Response to squared shocks	0.2057	6.04***
β GARCH Volatility persistence	0.7820	24.19***

γ₁	0.6515	1.26
γ₂	0.2092	0.26
γ₃	-1.8004	-2.83***
γ₄	1.7396	3.56***
γ₅	-1.0259	-2.42**
γ₆	0.4476	1.07
γ₇	0.0733	0.12
γ₈	-2.3457	-2.21**

V-Lab

Value Convergence Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Value Convergence Holdings Ltd Analyses