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	0.8237	2.32**
α ARCH Response to squared shocks	0.4847	5.32***
β GARCH Volatility persistence	0.3250	5.09***

γ₁	-2.1331	-1.68*
γ₂	1.6554	0.85
γ₃	2.0483	1.77*
γ₄	-3.6644	-4.10***
γ₅	3.2436	3.70***
γ₆	-1.2331	-1.47
γ₇	0.5888	0.90
γ₈	-1.0690	-2.07**
γ₉	1.0408	2.55**
γ₁₀	-0.4774	-0.73

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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