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	1.7253	6.13***
α ARCH Response to squared shocks	0.3603	9.23***
β GARCH Volatility persistence	0.6388	16.31***

γ₁	-2.7195	-3.00***
γ₂	7.4838	4.33***
γ₃	-13.8218	-6.29***
γ₄	19.0147	6.61***
γ₅	-14.6199	-6.34***
γ₆	6.3211	5.45***

V-Lab

Gujjubhai Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gujjubhai Industries Ltd Analyses