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	2.6816	3.87***
α ARCH Response to squared shocks	0.1402	6.24***
β GARCH Volatility persistence	0.8572	37.86***

γ₁	-0.4609	-0.83
γ₂	1.5991	1.77*
γ₃	-2.4499	-3.76***
γ₄	3.1943	4.06***
γ₅	-5.9903	-2.59***
γ₆	8.7315	2.04**
γ₇	-5.9559	-1.63
γ₈	0.3047	0.22
γ₉	1.7939	2.95***
γ₁₀	-3.1989	-3.08***

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Lanka Realty Investments Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lanka Realty Investments Plc Analyses