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	25.6772	3.17***
α ARCH Response to squared shocks	0.1888	9.16***
β GARCH Volatility persistence	0.8013	33.33***

γ₁	-1.1939	-1.77*
γ₂	4.0677	2.68***
γ₃	-3.7071	-2.93***
γ₄	-0.0316	-0.07
γ₅	1.4988	7.61***
γ₆	-0.8176	-5.63***
γ₇	0.2544	2.23**
γ₈	-0.0535	-0.32

V-Lab

Alphageo Ltd (India) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alphageo Ltd (India) Analyses