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	0.2210	3.61***
α ARCH Response to squared shocks	0.2727	2.79***
β GARCH Volatility persistence	0.1248	1.62

γ₁	-1.2420	-3.32***
γ₂	1.2671	2.58***
γ₃	0.0315	0.14
γ₄	0.1390	0.66
γ₅	-0.3972	-2.34**
γ₆	0.2366	1.17
γ₇	-0.2890	-0.80
γ₈	0.8991	2.58***
γ₉	-1.4160	-6.02***
γ₁₀	1.4287	6.28***

V-Lab

Barramundi Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barramundi Ltd Analyses