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	3.9509	3.21***
α ARCH Response to squared shocks	0.2558	9.05***
β GARCH Volatility persistence	0.7369	31.73***

γ₁	0.5117	0.65
γ₂	-1.2774	-1.24
γ₃	1.1654	2.75***
γ₄	-0.9661	-2.10**
γ₅	1.2120	1.76*
γ₆	-0.7198	-1.14
γ₇	-0.3577	-0.73
γ₈	1.7649	2.52**

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Foods & Inns Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Foods & Inns Ltd Analyses