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	7.8850	0.00
α ARCH Response to squared shocks	0.2470	0.00
β GARCH Volatility persistence	0.7530	0.00

γ₁	-3.4666	0.00
γ₂	3.8310	0.00
γ₃	1.2185	0.00
γ₄	-2.9986	0.00
γ₅	-9.0631	0.00
γ₆	33.6996	0.00
γ₇	-37.6772	0.00
γ₈	16.1834	0.00
γ₉	-2.2714	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