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	1.8934	1.83*
α ARCH Response to squared shocks	0.0106	3.39***
β GARCH Volatility persistence	0.9040	189.76***
γ leverage Additional response to negative shocks	0.1707	29.99***

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Arihant Superstructures Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arihant Superstructures Ltd Analyses