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	0.4024	1.97**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9599	18.10***

γ₁	5.3641	1.10
γ₂	-13.8823	-1.58
γ₃	17.4394	2.12**
γ₄	-27.0781	-3.72***
γ₅	43.6626	6.64***
γ₆	-49.7991	-6.38***
γ₇	39.8701	5.63***
γ₈	-23.0538	-4.44***
γ₉	15.1065	2.40**
γ₁₀	-15.3670	-1.07

V-Lab

Azzuro Resources PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Azzuro Resources PLC Analyses