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	9.4220	0.00
α ARCH Response to squared shocks	0.2625	0.00
β GARCH Volatility persistence	0.7375	0.00

γ₁	-2.4755	0.00
γ₂	2.5149	0.00
γ₃	2.4043	0.00
γ₄	-9.2676	0.00
γ₅	19.1122	0.00
γ₆	-26.7307	-0.01
γ₇	24.5842	0.00
γ₈	-13.6297	0.00

V-Lab

Ashika Global Securities Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ashika Global Securities Ltd Analyses