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	0.4802	3.33***
α ARCH Response to squared shocks	0.2282	8.43***
β GARCH Volatility persistence	0.7455	27.01***

γ₁	-2.6802	-4.61***
γ₂	1.9293	2.08**
γ₃	3.3386	4.14***
γ₄	-4.9258	-5.47***

V-Lab

AVG Logistics Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other AVG Logistics Ltd Analyses