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	1.2954	1.50
α ARCH Response to squared shocks	0.1448	2.04**
β GARCH Volatility persistence	0.8551	12.09***

γ₁	-5.1583	-1.41
γ₂	8.1691	1.19
γ₃	-0.6528	-0.15
γ₄	-5.6096	-3.60***
γ₅	3.7984	2.70***
γ₆	-0.1099	-0.12
γ₇	-1.2035	-2.15**
γ₈	1.4784	4.09***
γ₉	-1.6224	-3.58***
γ₁₀	2.3195	2.64***

V-Lab

Central Finance Co (Lanka) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Central Finance Co (Lanka) Analyses