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	1.7661	2.53**
α ARCH Response to squared shocks	0.2683	7.57***
β GARCH Volatility persistence	0.7310	20.70***

γ₁	-9.0187	-4.28***
γ₂	9.2534	1.67*
γ₃	12.9547	0.79
γ₄	-21.6329	-1.12

V-Lab

Halder Venture Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Halder Venture Limited Analyses