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	2.5250	2.30**
α ARCH Response to squared shocks	0.1776	4.31***
β GARCH Volatility persistence	0.6819	11.31***

γ₁	-1.8944	-0.94
γ₂	3.8328	1.31
γ₃	-3.5652	-2.43**
γ₄	3.0616	2.57**
γ₅	-3.0083	-2.02**
γ₆	2.8305	2.25**
γ₇	-1.7747	-2.58***
γ₈	0.7137	1.39
γ₉	-0.2795	-0.43
γ₁₀	0.5203	0.49

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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