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	5.2406	2.37**
α ARCH Response to squared shocks	0.2271	4.63***
β GARCH Volatility persistence	0.6015	9.50***

γ₁	-1.6836	-2.45**
γ₂	3.1561	2.96***
γ₃	-0.5959	-0.95
γ₄	-2.0728	-3.36***
γ₅	2.3261	3.74***
γ₆	-2.4657	-4.97***

V-Lab

Al Kathiri Holding Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Al Kathiri Holding Analyses