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	1.6083	1.85*
α ARCH Response to squared shocks	0.2941	7.51***
β GARCH Volatility persistence	0.5348	8.43***

γ₁	0.7736	0.30
γ₂	-0.1083	-0.03
γ₃	-2.9237	-1.54
γ₄	-2.3573	-0.95
γ₅	11.6852	4.21***
γ₆	-8.6304	-3.75***
γ₇	2.9559	1.31
γ₈	-5.2560	-1.80*
γ₉	7.8206	2.55**
γ₁₀	-6.8290	-2.51**

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Gtv Engineering Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gtv Engineering Limited Analyses