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	0.2394	2.78***
α ARCH Response to squared shocks	0.0990	3.84***
β GARCH Volatility persistence	0.8132	14.13***

γ₁	3.4188	1.33
γ₂	-5.5259	-1.46
γ₃	3.4626	1.47
γ₄	-3.3751	-1.24
γ₅	3.6089	1.17
γ₆	-9.3453	-2.89***
γ₇	16.3014	5.29***

V-Lab

SEM Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other SEM Holdings Ltd Analyses