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	0.2224	3.61***
α ARCH Response to squared shocks	0.2786	2.84***
β GARCH Volatility persistence	0.1300	1.68*

γ₁	-1.2370	-3.33***
γ₂	1.2628	2.58***
γ₃	0.0308	0.14
γ₄	0.1401	0.66
γ₅	-0.4020	-2.31**
γ₆	0.2404	1.25
γ₇	-0.2788	-0.79
γ₈	0.8741	2.53**
γ₉	-1.3912	-5.92***
γ₁₀	1.3949	6.29***

V-Lab

Barramundi Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barramundi Ltd Analyses