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	0.6487	4.39***
α ARCH Response to squared shocks	0.2839	4.77***
β GARCH Volatility persistence	0.6390	12.40***

γ₁	0.3260	0.93
γ₂	-0.9713	-1.59
γ₃	1.1269	2.67***
γ₄	-0.3903	-1.67*
γ₅	-0.5246	-2.78***
γ₆	0.8950	4.48***
γ₇	-0.9250	-4.91***
γ₈	1.0635	3.92***

V-Lab

Cebu Air Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cebu Air Inc Analyses