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	9.3109	0.00
α ARCH Response to squared shocks	0.2656	0.00
β GARCH Volatility persistence	0.7344	0.00

γ₁	-2.5913	0.00
γ₂	2.7627	0.00
γ₃	2.1315	0.00
γ₄	-7.8366	0.00
γ₅	14.7659	0.00
γ₆	-18.9517	-0.01
γ₇	15.7841	0.02
γ₈	-10.8519	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