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	2.5056	2.28**
α ARCH Response to squared shocks	0.1791	4.34***
β GARCH Volatility persistence	0.6838	11.45***

γ₁	-1.9416	-0.95
γ₂	3.9036	1.32
γ₃	-3.6007	-2.42**
γ₄	3.0779	2.52**
γ₅	-3.0009	-1.98**
γ₆	2.7810	2.22**
γ₇	-1.6938	-2.50**
γ₈	0.6448	1.25
γ₉	-0.2508	-0.39
γ₁₀	0.5404	0.54

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Bailador Technology Investments Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bailador Technology Investments Limited Analyses