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	1.0052	2.85***
α ARCH Response to squared shocks	0.0996	7.25***
β GARCH Volatility persistence	0.8860	49.35***

γ₁	-0.4360	-5.28***
γ₂	0.6156	4.95***
γ₃	-0.1542	-2.09**
γ₄	-0.0643	-1.35
γ₅	0.0798	2.05**
γ₆	-0.1065	-2.93***
γ₇	0.1202	2.34**

V-Lab

Consolidated Water Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Consolidated Water Co Ltd Analyses