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	0.7127	4.65***
α ARCH Response to squared shocks	0.0561	6.08***
β GARCH Volatility persistence	0.9122	51.52***

γ₁	0.1633	1.55
γ₂	-0.6727	-4.34***
γ₃	0.9120	8.92***
γ₄	-0.5947	-4.93***
γ₅	0.1989	1.68*
γ₆	0.1167	1.34
γ₇	-0.0331	-0.55
γ₈	-0.2813	-5.31***
γ₉	0.3560	4.14***

V-Lab

Famous Brands Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Famous Brands Ltd Analyses