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	0.5929	0.03
α ARCH Response to squared shocks	0.3818	0.00
β GARCH Volatility persistence	0.6182	0.01

γ₁	-7.4923	0.00
γ₂	8.3248	0.00
γ₃	-0.1009	0.00
γ₄	4.5823	0.00
γ₅	22.7760	0.01
γ₆	-65.6035	-0.01
γ₇	53.6859	0.01
γ₈	-26.9669	-0.01
γ₉	18.4852	0.01
γ₁₀	-12.1811	-0.01

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The Dacca Dyeing Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other The Dacca Dyeing Analyses