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	7.8404	0.00
α ARCH Response to squared shocks	0.4894	0.00
β GARCH Volatility persistence	0.5106	0.00

γ₁	-1.0698	-0.01
γ₂	0.6024	0.00
γ₃	1.8918	0.09
γ₄	-4.0304	-0.08
γ₅	3.4311	0.14
γ₆	1.0644	0.03
γ₇	-5.2789	-0.10
γ₈	6.4808	0.18
γ₉	-3.6794	-0.58
γ₁₀	-24.4402	-0.48

V-Lab

Dulamia Cotton Spinning Mill Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dulamia Cotton Spinning Mill Analyses