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	0.5958	1.79*
α ARCH Response to squared shocks	0.1317	17.42***
β GARCH Volatility persistence	0.8653	101.31***

γ₁	-0.0752	-2.49**
γ₂	0.1059	2.00**
γ₃	0.0332	0.60
γ₄	-0.1101	-2.16**
γ₅	0.0250	0.47

V-Lab

Future Generation Australia Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Future Generation Australia Ltd Analyses