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	1.1267	4.35***
α ARCH Response to squared shocks	0.2315	19.97***
β GARCH Volatility persistence	0.7682	65.95***

γ₁	0.0185	0.27
γ₂	-0.0687	-0.75
γ₃	0.1043	2.89***
γ₄	-0.0635	-1.97**

V-Lab

Hcl Infosystems Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hcl Infosystems Ltd Analyses