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	1.5322	5.52***
α ARCH Response to squared shocks	0.0503	4.42***
β GARCH Volatility persistence	0.9307	44.15***

γ₁	-0.3452	-1.69*
γ₂	0.5223	1.50
γ₃	-0.1155	-0.50
γ₄	-0.3263	-1.78*
γ₅	0.3091	1.78*
γ₆	0.0942	0.70
γ₇	-0.2123	-2.26**
γ₈	0.2266	2.75***
γ₉	-0.3947	-3.68***

V-Lab

Enghouse Systems Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Enghouse Systems Ltd Analyses