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	0.7353	1.77*
α ARCH Response to squared shocks	0.1306	17.50***
β GARCH Volatility persistence	0.8663	102.46***

γ₁	-0.0123	-0.89
γ₂	0.0571	2.08**
γ₃	-0.0975	-3.46***

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