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	1.4079	3.71***
α ARCH Response to squared shocks	0.1917	9.62***
β GARCH Volatility persistence	0.8078	41.19***

γ₁	0.6834	1.41
γ₂	-2.1106	-2.92***
γ₃	2.5713	4.11***
γ₄	-3.5667	-2.87***
γ₅	5.5910	2.22**
γ₆	-3.7746	-1.50
γ₇	1.0540	0.53
γ₈	-2.5958	-2.44**
γ₉	4.3521	3.89***
γ₁₀	-3.8839	-3.73***

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Asian Hotels (North) Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asian Hotels (North) Ltd Analyses