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	0.7696	0.24
α ARCH Response to squared shocks	0.0746	0.04
β GARCH Volatility persistence	0.9254	0.44

γ₁	-2.1334	-0.03
γ₂	6.3644	0.04
γ₃	-6.0555	-0.08
γ₄	1.5437	0.02
γ₅	0.3331	0.00
γ₆	-0.3421	-0.07
γ₇	0.7766	0.09
γ₈	-1.1383	-0.22
γ₉	0.8097	0.04

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Biafo Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Biafo Industries Ltd Analyses