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	7.7159	1.39
α ARCH Response to squared shocks	0.3535	4.10***
β GARCH Volatility persistence	0.6430	7.89***

γ₁	1.0874	5.60***
γ₂	-2.5581	-6.76***
γ₃	2.8674	6.65***
γ₄	-2.1651	-5.34***
γ₅	1.2651	4.96***
γ₆	-0.9260	-5.93***
γ₇	0.7715	5.75***
γ₈	-0.6942	-5.38***
γ₉	0.6045	4.45***
γ₁₀	-0.2310	-1.22

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Bannari Amman Sugars Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bannari Amman Sugars Ltd Analyses