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	5.0000	0.50
α ARCH Response to squared shocks	0.1078	6.50***
β GARCH Volatility persistence	0.8862	147.77***
γ leverage Additional response to negative shocks	0.0120	0.55

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Aurelius Technologies Berhad Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aurelius Technologies Berhad Analyses