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	1.5999	0.44
α ARCH Response to squared shocks	0.8260	7.47***
β GARCH Volatility persistence	0.1737	1.42

γ₁	-76.5417	-0.26
γ₂	240.5772	0.62
γ₃	-262.2726	-2.78***
γ₄	111.0749	26.95***
γ₅	-16.1458	-5.76***
γ₆	5.1847	2.11**
γ₇	-3.6093	-0.62
γ₈	2.7737	0.30
γ₉	-1.7887	-0.12

V-Lab

Chams Holding Company PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chams Holding Company PLC Analyses