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	1.2402	2.33**
α ARCH Response to squared shocks	0.2676	7.15***
β GARCH Volatility persistence	0.7321	20.11***

γ₁	0.8527	0.43
γ₂	-2.2883	-1.05
γ₃	2.0461	1.92*
γ₄	-0.0013	0.00
γ₅	-5.2578	-1.46
γ₆	13.7025	1.42
γ₇	-17.3541	-1.46
γ₈	13.4758	1.62
γ₉	-7.0027	-1.71*
γ₁₀	1.7585	1.19

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Saudi Fransi Cooperative Ins Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Saudi Fransi Cooperative Ins Analyses