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	2.3414	3.22***
α ARCH Response to squared shocks	0.1456	9.74***
β GARCH Volatility persistence	0.8174	41.31***

γ₁	-0.0734	-1.07
γ₂	0.3252	3.55***
γ₃	-0.4321	-7.48***
γ₄	0.2284	3.14***

V-Lab

Curro Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Curro Holdings Ltd Analyses