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	0.9140	2.49**
α ARCH Response to squared shocks	0.2703	10.16***
β GARCH Volatility persistence	0.7186	28.59***

γ₁	-0.0883	-0.54
γ₂	0.6225	2.26**
γ₃	-1.4573	-5.52***
γ₄	1.9676	8.27***
γ₅	-2.0513	-9.11***

V-Lab

Aamra Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aamra Technologies Ltd Analyses