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	1.8409	3.15***
α ARCH Response to squared shocks	0.2478	5.75***
β GARCH Volatility persistence	0.6659	14.46***

γ₁	-0.8497	-2.88***
γ₂	1.3948	3.32***
γ₃	-0.6805	-2.70***
γ₄	0.0077	0.03
γ₅	-0.1415	-0.58
γ₆	0.5114	1.80*
γ₇	-0.1908	-0.50

V-Lab

Benares Hotels Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Benares Hotels Ltd Analyses