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	1.3311	2.33**
α ARCH Response to squared shocks	0.3080	11.90***
β GARCH Volatility persistence	0.6908	26.66***

γ₁	4.3208	0.83
γ₂	-11.0375	-1.65*
γ₃	11.1428	3.29***
γ₄	-17.8181	-3.71***
γ₅	32.8680	5.23***
γ₆	-29.0571	-4.38***

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Shatirah House Restaurant Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shatirah House Restaurant Co Analyses