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	1.2727	0.32
α ARCH Response to squared shocks	0.2092	0.09
β GARCH Volatility persistence	0.7907	0.33

γ₁	-5.1751	-0.09
γ₂	8.2826	0.09
γ₃	-1.0690	-0.04
γ₄	-7.7530	-0.17
γ₅	11.2972	0.16
γ₆	-7.9936	-0.15
γ₇	2.6237	0.15
γ₈	-0.5085	-0.57
γ₉	0.6557	1.06
γ₁₀	-0.6591	-0.76

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Hcl Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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