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	22.7358
α ARCH Response to squared shocks	0.1002
β GARCH Volatility persistence	0.8998

γ₁	2.4217
γ₂	-9.4948
γ₃	14.5552
γ₄	-9.3856
γ₅	0.8841
γ₆	0.1058
γ₇	2.3315
γ₈	1.1221
γ₉	-6.1859
γ₁₀	6.9956

V-Lab

3-2 INVESTMENT AND CONSTRUCTION JSC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3-2 INVESTMENT AND CONSTRUCTION JSC Analyses