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	0.8246	2.33**
α ARCH Response to squared shocks	0.4838	5.34***
β GARCH Volatility persistence	0.3277	5.12***

γ₁	-2.1425	-1.70*
γ₂	1.6895	0.87
γ₃	1.9988	1.73*
γ₄	-3.6406	-4.08***
γ₅	3.2735	3.76***
γ₆	-1.2761	-1.54
γ₇	0.5965	0.91
γ₈	-1.0716	-2.00**
γ₉	1.1068	2.62***
γ₁₀	-0.7492	-1.27

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Cashbox Partyworld Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cashbox Partyworld Co Ltd Analyses