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	1.6269	1.84*
α ARCH Response to squared shocks	0.3013	7.60***
β GARCH Volatility persistence	0.5295	8.38***

γ₁	0.7240	0.28
γ₂	-0.0130	0.00
γ₃	-3.1853	-1.76*
γ₄	-1.8009	-0.76
γ₅	11.3479	4.18***
γ₆	-8.7727	-3.94***
γ₇	2.8935	1.44
γ₈	-4.7889	-1.75*
γ₉	7.5635	2.33**
γ₁₀	-7.1476	-2.33**

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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