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	0.8449	3.46***
α ARCH Response to squared shocks	0.0219	2.57**
β GARCH Volatility persistence	0.9593	43.78***

γ₁	-0.5136	-0.80
γ₂	0.5416	0.57
γ₃	1.3452	2.39**
γ₄	-2.6412	-4.61***
γ₅	1.6027	2.16**
γ₆	-0.1991	-0.17
γ₇	-1.0953	-0.67
γ₈	1.5209	1.09
γ₉	-1.2537	-0.83

V-Lab

Servair Abidjan Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Servair Abidjan Analyses