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	0.4733	2.47**
α ARCH Response to squared shocks	0.2471	7.25***
β GARCH Volatility persistence	0.7217	30.05***

γ₁	-0.0551	-4.01***
γ₂	0.0821	4.10***
γ₃	-0.0437	-2.89***
γ₄	0.0405	1.81*

V-Lab

Carlsberg Brewery Malaysia Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carlsberg Brewery Malaysia Analyses