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	1.5489	0.00
α ARCH Response to squared shocks	0.3370	0.00
β GARCH Volatility persistence	0.6630	0.00

γ₁	5.1159	0.00
γ₂	-27.0642	0.00
γ₃	49.0143	0.00
γ₄	-34.8029	0.00
γ₅	5.1707	0.00
γ₆	2.4204	0.00

V-Lab

Aarvi Encon Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aarvi Encon Ltd Analyses