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	5.0000	2.88***
α ARCH Response to squared shocks	0.1205	22.58***
β GARCH Volatility persistence	0.8821	384.36***
γ leverage Additional response to negative shocks	-0.0053	-0.66

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Curro Holdings Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Curro Holdings Ltd Analyses