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	4.2462	4.12***
α ARCH Response to squared shocks	0.1500	6.21***
β GARCH Volatility persistence	0.8485	34.56***

γ₁	0.2915	0.62
γ₂	-1.3110	-1.82*
γ₃	2.7328	6.48***
γ₄	-3.7179	-12.27***
γ₅	3.8657	8.84***
γ₆	-3.7353	-7.19***
γ₇	3.8305	5.22***
γ₈	-4.3803	-4.43***

V-Lab

Bairaha Farms Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bairaha Farms Analyses