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	2.0081	4.79***
α ARCH Response to squared shocks	0.2759	10.53***
β GARCH Volatility persistence	0.7198	27.23***

γ₁	-4.3334	-2.28**
γ₂	7.7154	2.87***
γ₃	-7.1860	-3.99***
γ₄	9.1115	3.61***
γ₅	-9.7251	-4.02***
γ₆	6.6356	5.63***
γ₇	-2.3921	-3.58***
γ₈	-2.3599	-3.61***
γ₉	6.0857	6.90***

V-Lab

Ecopack Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ecopack Ltd Analyses