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	0.2534	2.07**
α ARCH Response to squared shocks	0.2122	6.66***
β GARCH Volatility persistence	0.7706	28.99***

γ₁	-1.3819	-5.86***
γ₂	0.9321	1.74*
γ₃	2.1591	2.83***
γ₄	-2.8441	-4.15***
γ₅	1.4112	4.55***
γ₆	-0.2164	-1.68*
γ₇	-0.0907	-0.88
γ₈	-0.1510	-1.39
γ₉	0.5282	4.69***
γ₁₀	-0.4824	-4.01***

V-Lab

Dynasty Ceramic PCL Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dynasty Ceramic PCL Analyses