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	0.3522	1.72*
α ARCH Response to squared shocks	0.0327	4.79***
β GARCH Volatility persistence	0.9174	89.75***
γ leverage Additional response to negative shocks	0.0910	11.12***

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Dish Tv India Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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