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	0.2245	3.46***
α ARCH Response to squared shocks	0.1891	3.62***
β GARCH Volatility persistence	0.3342	2.88***

γ₁	-0.5189	-1.01
γ₂	0.3375	0.46
γ₃	0.9533	1.94*
γ₄	-0.6480	-1.17
γ₅	-2.4429	-3.48***
γ₆	4.4355	6.59***
γ₇	-2.5013	-5.14***
γ₈	-0.8466	-1.33
γ₉	2.2949	1.79*

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CFAO Motors Cote D Ivoire Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CFAO Motors Cote D Ivoire Analyses