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	1.5435	0.49
α ARCH Response to squared shocks	0.0070	5.06***
β GARCH Volatility persistence	0.9893	980.46***
γ leverage Additional response to negative shocks	0.0074	1.24

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Cashbox Partyworld Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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