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	0.1954	1.10
α ARCH Response to squared shocks	0.2386	8.34***
β GARCH Volatility persistence	0.7003	20.58***

γ₁	-13.1923	-2.64***
γ₂	16.9598	2.51**
γ₃	-8.0523	-3.14***
γ₄	8.6688	6.05***
γ₅	-4.7880	-4.62***
γ₆	0.3172	0.33
γ₇	0.3506	0.36
γ₈	-0.2917	-0.30
γ₉	0.4034	0.39
γ₁₀	-1.2554	-0.99

V-Lab

Arab Sea Information System Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arab Sea Information System Analyses